Yaziz, Siti Roslindar and Azizan, Noor Azlinna and Ahmad, Maizah Hura and Zakaria, Roslinazairimah and Agrawal, Manju and Boland, John (2015) Preliminary analysis on hybrid Box-Jenkins - GARCH modeling in forecasting gold price. In: 2nd ISM International Statistical Conference 2014: Empowering the Applications of Statistical and Mathematical Sciences, ISM 2014, 12 August 2014 - 14 August 2014, Kuantan, Pahang.
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Official URL: http://dx.doi.org/10.1063/1.4907458
Abstract
Gold has been regarded as a valuable precious metal and the most popular commodity as a healthy return investment. Hence, the analysis and prediction of gold price become very significant to investors. This study is a preliminary analysis on gold price and its volatility that focuses on the performance of hybrid Box-Jenkins models together with GARCH in analyzing and forecasting gold price. The Box-Cox formula is used as the data transformation method due to its potential best practice in normalizing data, stabilizing variance and reduces heteroscedasticity using 41-year daily gold price data series starting 2 nd January 1973. Our study indicates that the proposed hybrid model ARIMA-GARCH with t-innovation can be a new potential approach in forecasting gold price. This finding proves the strength of GARCH in handling volatility in the gold price as well as overcomes the non-linear limitation in the Box-Jenkins modeling.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | Box-Jenkins modeling, GARCH, gold price forecasting |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Science |
| ID Code: | 59428 |
| Deposited By: | Haliza Zainal |
| Deposited On: | 18 Jan 2017 01:50 |
| Last Modified: | 15 Dec 2021 01:00 |
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