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...
Main Authors: | , , , , , |
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Format: | Conference or Workshop Item |
Language: | English |
Published: |
2015
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Subjects: | |
Online Access: | http://umpir.ump.edu.my/id/eprint/8836/ http://umpir.ump.edu.my/id/eprint/8836/ http://umpir.ump.edu.my/id/eprint/8836/1/fist-2015-roslindar-Preliminary%20analysis%20on%20hybrid.pdf |
Summary: | 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. |
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