Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat

Gold is widely known as the most valuable thing in this world which leads to the securing of gold as an investment portfolio among people. In making a profitable investment, it is extremely important to have an accurate decision on the buying and selling periods. Therefore, this paper attempts to an...

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Bibliographic Details
Main Author:	Che Mat, Basyirah
Format:	Thesis
Published:	2016
Subjects:	Precious metals. Bullion Mathematical statistics. Probabilities Analysis
Online Access:	http://ir.uitm.edu.my/id/eprint/17888/

id	uitm-17888
recordtype	eprints
spelling	uitm-178882019-03-07T02:31:35Z http://ir.uitm.edu.my/id/eprint/17888/ Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat Che Mat, Basyirah Precious metals. Bullion Mathematical statistics. Probabilities Analysis Gold is widely known as the most valuable thing in this world which leads to the securing of gold as an investment portfolio among people. In making a profitable investment, it is extremely important to have an accurate decision on the buying and selling periods. Therefore, this paper attempts to analyze the appropriate forecast method for forecasting Malaysia's own gold bullion coin selling price namely Kijang Emas. The objectives of this research are to investigate the factors that affect the fluctuation of Kijang Emas gold prices, to develop forecasting model by using Multiple Linear Regression (MLR) method according to the factors that affect the Kijang Emas gold prices and to enhance the forecasting method by combining two individual methods, Geometric Brownian Motion (GBM) and MLR method. In order to improve the accuracy of the forecast, the combination of both forecast methods is proposed and it is done by using two combinations of forecasts methods; Simple Equal Weighted Average and Inverse Mean Square Forecast Error Combination method. Then, the forecast accuracy for each method is calculated by using Mean Absolute Percentage Error (MAPE) and the last result shows that the combination of forecast with Inverse Mean Square Forecast Error Combination method gives the lowest MAPE result. Hence, this method is highly recommended to be used in forecasting Kijang Emas selling price. 2016 Thesis NonPeerReviewed Che Mat, Basyirah (2016) Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat. Masters thesis, Universiti Teknologi MARA.
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
topic	Precious metals. Bullion Mathematical statistics. Probabilities Analysis
spellingShingle	Precious metals. Bullion Mathematical statistics. Probabilities Analysis Che Mat, Basyirah Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
description	Gold is widely known as the most valuable thing in this world which leads to the securing of gold as an investment portfolio among people. In making a profitable investment, it is extremely important to have an accurate decision on the buying and selling periods. Therefore, this paper attempts to analyze the appropriate forecast method for forecasting Malaysia's own gold bullion coin selling price namely Kijang Emas. The objectives of this research are to investigate the factors that affect the fluctuation of Kijang Emas gold prices, to develop forecasting model by using Multiple Linear Regression (MLR) method according to the factors that affect the Kijang Emas gold prices and to enhance the forecasting method by combining two individual methods, Geometric Brownian Motion (GBM) and MLR method. In order to improve the accuracy of the forecast, the combination of both forecast methods is proposed and it is done by using two combinations of forecasts methods; Simple Equal Weighted Average and Inverse Mean Square Forecast Error Combination method. Then, the forecast accuracy for each method is calculated by using Mean Absolute Percentage Error (MAPE) and the last result shows that the combination of forecast with Inverse Mean Square Forecast Error Combination method gives the lowest MAPE result. Hence, this method is highly recommended to be used in forecasting Kijang Emas selling price.
format	Thesis
author	Che Mat, Basyirah
author_facet	Che Mat, Basyirah
author_sort	Che Mat, Basyirah
title	Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
title_short	Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
title_full	Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
title_fullStr	Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
title_full_unstemmed	Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
title_sort	combining geometric brownian motion model and multiple linear regression model for predicting kijang emas selling price / basyirah che mat
publishDate	2016
url	http://ir.uitm.edu.my/id/eprint/17888/
first_indexed	2023-09-18T22:59:16Z
last_indexed	2023-09-18T22:59:16Z
_version_	1777418063690334208

Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat

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