Siti Roslindar, Yaziz and Noor Azlinna, Azizan and Maizah Hura, Ahmad and Roslinazairimah, Zakaria and Agrawal, Manju and Boland, John (2015) Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price. In: AIP Conference Proceeding, 289, 1643 :The 2nd ISM International Statistical Conference (ISM-II 2014) , 12-14 August 2014 , MS Garden Hotel, Kuantan. p. 289..
|
PDF
fist-2015-roslindar-Preliminary analysis on hybrid.pdf Download (46kB) | Preview |
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 2nd 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 (Speech) |
|---|---|
| Additional Information: | ISBN: 978-0-7354-1281-1 |
| Uncontrolled Keywords: | Gold |
| Subjects: | Q Science > QA Mathematics |
| Faculty/Division: | Faculty of Industrial Sciences And Technology |
| Depositing User: | Noorul Farina Arifin |
| Date Deposited: | 01 Apr 2015 04:36 |
| Last Modified: | 02 May 2018 06:18 |
| URI: | http://umpir.ump.edu.my/id/eprint/8836 |
| Download Statistic: | View Download Statistics |
Actions (login required)
 |
View Item |