Considering the issues and factors referenced above, it can be seen that agricultural price and production are related. In a
study examining this relationship, other variablesmay be deemed relevant as well, such as the role of grain stock. However,
the grain stock in Thailand is relatively stable because of the national policy for food security. The role of grain stock, therefore,
is not taken into account in this study. To formulate and manage the most effective and efficient agriculture policy, it is in
the best interest of policy makers to investigate the interdependent relationship of agricultural price and production.
These figures illustrate that the rates of change in price and production indices are correlated and more volatile than
before. Graphs of these rates display a heavy tail and are asymmetric. Univariate analysis of each index, without taking the
correlated index into consideration, is less informative, resulting in biased and inconsistent estimates. Therefore, analyses
of these indices by traditional means are inappropriate. This paper, then, presents a more appropriate and reliable analytical
strategy. Section 2 contains a brief literature reviewwhile econometricmodels for volatility and dependency are introduced
in Section 3. Data are discussed in Sections 4, and 5 presents the empirical results. Section 6 applies conditional density
functions to forecast the means and confidence intervals for policy implications. Conclusions are then presented in Section 7.