Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price

Siti Roslindar, Yaziz and Roslinazairimah, Zakaria and Maizah Hura, Ahmad (2017) Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price. In: Journal of Physics: Conference Series, 1st International Conference on Applied & Industrial Mathematics and Statistics 2017 (ICoAIMS 2017) , 8-10 August 2017 , Kuantan, Pahang, Malaysia. pp. 1-6., 890 (012161). ISSN 1742-6588 (print); 1742-6596 (online)

[img]
Preview
Pdf
Determination of sample size for higher volatile data using new framework of Box-Jenkins model with GARCH- A case study on gold price.pdf
Available under License Creative Commons Attribution.

Download (121kB) | Preview

Abstract

The model of Box-Jenkins - GARCH has been shown to be a promising tool for forecasting higher volatile time series. In this study, the framework of determining the optimal sample size using Box-Jenkins model with GARCH is proposed for practical application in analysing and forecasting higher volatile data. The proposed framework is employed to daily world gold price series from year 1971 to 2013. The data is divided into 12 different sample sizes (from 30 to 10200). Each sample is tested using different combination of the hybrid Box-Jenkins - GARCH model. Our study shows that the optimal sample size to forecast gold price using the framework of the hybrid model is 1250 data of 5-year sample. Hence, the empirical results of model selection criteria and 1-step-ahead forecasting evaluations suggest that the latest 12.25% (5-year data) of 10200 data is sufficient enough to be employed in the model of Box-Jenkins - GARCH with similar forecasting performance as by using 41-year data.

Item Type: Conference or Workshop Item (Lecture)
Uncontrolled Keywords: Box-Jenkins - GARCH; gold price; data
Subjects: Q Science > Q Science (General)
Faculty/Division: Faculty of Industrial Sciences And Technology
Depositing User: Mrs. Neng Sury Sulaiman
Date Deposited: 10 Nov 2017 08:59
Last Modified: 03 Oct 2018 04:14
URI: http://umpir.ump.edu.my/id/eprint/17406
Download Statistic: View Download Statistics

Actions (login required)

View Item View Item