Comparison of GBM, GFBM and MJD Models in Malaysian Rubber Prices Forecasting

This research studies three mathematical models, namely geometric Brownian motion (GBM), fractional (GFBM) model which was developed by adding the Hurst parameter to GBM characterize long-memory phenomenon, and Merton jump-diffusion (MJD) captures shocks via GBM. study sets out forecast Malaysia rubber prices for six months period beginning in January 2022 ending June 2022, involves four main steps; calculating logarithmic return of prices; estimating parameters forecasting using models; simulating GBM, GFBM MJD models Monte Carlo simulation; computing mean absolute percentage errors (MAPE) accuracy. Simulation results show that is most accurate prices.