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...
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ump-88362018-05-02T06:18:52Z http://umpir.ump.edu.my/id/eprint/8836/ Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria Agrawal, Manju Boland, John QA Mathematics 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. 2015 Conference or Workshop Item PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/8836/1/fist-2015-roslindar-Preliminary%20analysis%20on%20hybrid.pdf 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.. http://dx.doi.org/10.1063/1.4907458 |
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QA Mathematics Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria Agrawal, Manju Boland, John Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price |
description |
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. |
format |
Conference or Workshop Item |
author |
Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria Agrawal, Manju Boland, John |
author_facet |
Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria Agrawal, Manju Boland, John |
author_sort |
Siti Roslindar, Yaziz |
title |
Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price |
title_short |
Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price |
title_full |
Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price |
title_fullStr |
Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price |
title_full_unstemmed |
Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price |
title_sort |
preliminary analysis on hybrid box-jenkins - garch modeling in forecasting gold price |
publishDate |
2015 |
url |
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 |
first_indexed |
2023-09-18T22:06:50Z |
last_indexed |
2023-09-18T22:06:50Z |
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1777414764642697216 |