Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price

Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price

The model of Box-Jenkins - GARCH has been shown to be a promising tool for forecasting higher volatile time series. In this study, the framework of determining the optimal sample size using Box-Jenkins model with GARCH is proposed for practical application in analysing and forecasting higher volatil...

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Main Authors: Siti Roslindar, Yaziz, Roslinazairimah, Zakaria, Maizah Hura, Ahmad
Format: Conference or Workshop Item
Language:English
Published: IOP Publishing 2017
Subjects:
Q Science (General)
Online Access:http://umpir.ump.edu.my/id/eprint/17406/
http://umpir.ump.edu.my/id/eprint/17406/
http://umpir.ump.edu.my/id/eprint/17406/
http://umpir.ump.edu.my/id/eprint/17406/1/Determination%20of%20sample%20size%20for%20higher%20volatile%20data%20using%20new%20framework%20of%20Box-Jenkins%20model%20with%20GARCH-%20A%20case%20study%20on%20gold%20price.pdf
id ump-17406
recordtype eprints
spelling ump-174062018-10-03T04:14:54Z http://umpir.ump.edu.my/id/eprint/17406/ Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price Siti Roslindar, Yaziz Roslinazairimah, Zakaria Maizah Hura, Ahmad Q Science (General) The model of Box-Jenkins - GARCH has been shown to be a promising tool for forecasting higher volatile time series. In this study, the framework of determining the optimal sample size using Box-Jenkins model with GARCH is proposed for practical application in analysing and forecasting higher volatile data. The proposed framework is employed to daily world gold price series from year 1971 to 2013. The data is divided into 12 different sample sizes (from 30 to 10200). Each sample is tested using different combination of the hybrid Box-Jenkins - GARCH model. Our study shows that the optimal sample size to forecast gold price using the framework of the hybrid model is 1250 data of 5-year sample. Hence, the empirical results of model selection criteria and 1-step-ahead forecasting evaluations suggest that the latest 12.25% (5-year data) of 10200 data is sufficient enough to be employed in the model of Box-Jenkins - GARCH with similar forecasting performance as by using 41-year data. IOP Publishing 2017 Conference or Workshop Item PeerReviewed pdf en cc_by http://umpir.ump.edu.my/id/eprint/17406/1/Determination%20of%20sample%20size%20for%20higher%20volatile%20data%20using%20new%20framework%20of%20Box-Jenkins%20model%20with%20GARCH-%20A%20case%20study%20on%20gold%20price.pdf Siti Roslindar, Yaziz and Roslinazairimah, Zakaria and Maizah Hura, Ahmad (2017) Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price. In: Journal of Physics: Conference Series, 1st International Conference on Applied & Industrial Mathematics and Statistics 2017 (ICoAIMS 2017), 8-10 August 2017 , Kuantan, Pahang, Malaysia. pp. 1-6., 890 (012161). ISSN 1742-6588 (print); 1742-6596 (online) http://dx.doi.org/10.1088/1742-6596/890/1/012161 doi: 10.1088/1742-6596/890/1/012161
repository_type Digital Repository
institution_category Local University
institution Universiti Malaysia Pahang
building UMP Institutional Repository
collection Online Access
language English
topic Q Science (General)
spellingShingle Q Science (General)
Siti Roslindar, Yaziz
Roslinazairimah, Zakaria
Maizah Hura, Ahmad
Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price
description The model of Box-Jenkins - GARCH has been shown to be a promising tool for forecasting higher volatile time series. In this study, the framework of determining the optimal sample size using Box-Jenkins model with GARCH is proposed for practical application in analysing and forecasting higher volatile data. The proposed framework is employed to daily world gold price series from year 1971 to 2013. The data is divided into 12 different sample sizes (from 30 to 10200). Each sample is tested using different combination of the hybrid Box-Jenkins - GARCH model. Our study shows that the optimal sample size to forecast gold price using the framework of the hybrid model is 1250 data of 5-year sample. Hence, the empirical results of model selection criteria and 1-step-ahead forecasting evaluations suggest that the latest 12.25% (5-year data) of 10200 data is sufficient enough to be employed in the model of Box-Jenkins - GARCH with similar forecasting performance as by using 41-year data.
format Conference or Workshop Item
author Siti Roslindar, Yaziz
Roslinazairimah, Zakaria
Maizah Hura, Ahmad
author_facet Siti Roslindar, Yaziz
Roslinazairimah, Zakaria
Maizah Hura, Ahmad
author_sort Siti Roslindar, Yaziz
title Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price
title_short Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price
title_full Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price
title_fullStr Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price
title_full_unstemmed Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price
title_sort determination of sample size for higher volatile data using new framework of box-jenkins model with garch: a case study on gold price
publisher IOP Publishing
publishDate 2017
url http://umpir.ump.edu.my/id/eprint/17406/
http://umpir.ump.edu.my/id/eprint/17406/
http://umpir.ump.edu.my/id/eprint/17406/
http://umpir.ump.edu.my/id/eprint/17406/1/Determination%20of%20sample%20size%20for%20higher%20volatile%20data%20using%20new%20framework%20of%20Box-Jenkins%20model%20with%20GARCH-%20A%20case%20study%20on%20gold%20price.pdf
first_indexed 2023-09-18T22:24:01Z
last_indexed 2023-09-18T22:24:01Z
_version_ 1777415845301977088

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