Siti Roslindar, Yaziz and Roslinazairimah, Zakaria and Suhartono, . (2019) ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price. In: Journal of Physics: Conference Series, 2nd International Conference on Applied & Industrial Mathematics and Statistics (ICoAIMS 2019) , 23-25 July 2019 , Kuantan, Pahang, Malaysia. pp. 1-9., 1366 (012126). ISSN 1742-6588 (print); 1742-6596 (online)
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Abstract
Gold price modelling is crucial in gold price pattern determination since the information can be used for investors to enter and exit the market. The model selection is important and corresponds to the gold price movement characteristics. This study examines the forecasting performance of autoregressive integrated moving average (ARIMA) with symmetric generalised autoregressive conditional heteroscedastic (GARCH)-type models (standard GARCH, IGARCH and GARCH-M) under three types of innovations that are Gaussian, t and generalized error distributions to model gold price. The proposed models are employed to daily Malaysia gold price from year 2003 to 2014. The empirical results indicate that ARIMA(0,1,0) - standard GARCH(1,1) using t innovations is the most preferred ARIMA with symmetric GARCH-type model.
| Item Type: | Conference or Workshop Item (Lecture) |
|---|---|
| Additional Information: | Indexed by Scopus |
| Uncontrolled Keywords: | GARCH-type models; Generalized error distributions; Auto-regressive; Forecasting performance; Model Selection |
| Subjects: | Q Science > QA Mathematics |
| Faculty/Division: | Center for Mathematical Science |
| Depositing User: | Mrs Norsaini Abdul Samat |
| Date Deposited: | 18 Jan 2021 04:13 |
| Last Modified: | 18 Jan 2021 04:13 |
| URI: | http://umpir.ump.edu.my/id/eprint/27848 |
| Download Statistic: | View Download Statistics |
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