Natural rubber is a plant of economic importance of Thailand, which has been the world's biggest producer and exporter since 1991. In 2014, Thailand covers the cultivation area of natural rubber of 3.6 million hectares, of which tapping area is 2.78 million hectares. In this paper, we applied the Gaussian copula, T copula, Clayton copula, Frank copula, Gumbel copula, Joe copula, BB1 copula, BB6 copula, BB7 copula, BB8 copula and rotate copulas to determine the relationship between the volatility of Thai rubber futures return, exchange rate of Thai baht and climatic factors. Based on these results, climatic factors and fluctuations in the exchange rate market have significant effects on Thai rubber futures returns. With regards the analysis methods, no single method can provide a complete picture of the dependencies and interrelatedness of the various asset markets. We hope that the results of this study can be used by investor of Thai rubber futures, as well as other key stakeholders in the rubber futures.