Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price
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 performa...
Disimpan dalam:
| Pengarang-pengarang Utama: | , , , , , |
|---|---|
| Format: | Conference or Workshop Item |
| Diterbitkan: |
2015
|
| Subjek-subjek: | |
| Capaian Atas Talian: | http://dx.doi.org/10.1063/1.4907458 http://dx.doi.org/10.1063/1.4907458 http://umpir.ump.edu.my/8836/1/fist-2015-roslindar-Preliminary%20analysis%20on%20hybrid.pdf |
| Penanda-penanda: |
Tambah Penanda
Tiada Penanda, Jadilah orang pertama menanda rekod ini!
|
| Ringkasan: | 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. |
|---|