Abstract: Malaysia is the second largest producer of palm oil in the world and the price of palm oil depends so much on the world oils and fat market. The study presents several numbers of econometric models that are being used to forecast a short term ex-ante spot palm oil price in future prices of the Malaysian palm oil market from July 2011 to December 2011. These models include Vector Error Correction Method (VECM) equation econometric model, Multivariate Autoregressive-Moving-Average (MARMA) model (composite model) and the univariate model of Autoregressive-Integrated Moving Average (ARIMA) (Box-Jenkins model). The objective is to determine the forecasting model in terms of the comparative forecasting models’ accuracy of the monthly spot palm oil price. Monthly data of palm oil price from January 1980 to June 2011 were being used as an estimation periods to forecast palm oil spot price from July 2011 to December 2011. Comparative forecasting models accuracy between VECM equation econometric model, MARMA model and univariate model of ARIMA were made in terms of their estimation accuracy based on RMSE, MAE, RMPE and (U-Theil) criteria. The results revealed that MARMA model (composite model) is more accurate and efficient measured in terms of its statistical criteria than VECM equation econometric model and ARIMA model (Box-Jenkins model) in forecasting the spot palm oil price of the Malaysian palm oil market.