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Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price

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..

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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
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