A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
A hybrid model has been considered an effective way to improve forecast accuracy. This paper proposes the hybrid model of the linear autoregressive moving average (ARIMA) and the non-linear generalized autoregressive conditional heteroscedasticity (GARCH) in modeling and forecasting. Malaysian gold...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Hikari Ltd
2014
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| Online Access: | http://umpir.ump.edu.my/id/eprint/7489/ http://umpir.ump.edu.my/id/eprint/7489/1/A_Hybrid_Model_for_Improving_Malaysian_Gold_Forecast_Accuracy.pdf |
| _version_ | 1848818011294662656 |
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| author | Maizah Hura, Ahmad Pung, Yean Ping Siti Roslindar, Yaziz Nor Hamizah, Miswan |
| author_facet | Maizah Hura, Ahmad Pung, Yean Ping Siti Roslindar, Yaziz Nor Hamizah, Miswan |
| author_sort | Maizah Hura, Ahmad |
| building | UMP Institutional Repository |
| collection | Online Access |
| description | A hybrid model has been considered an effective way to improve forecast accuracy. This paper proposes the hybrid model of the linear autoregressive moving average (ARIMA) and the non-linear generalized autoregressive conditional heteroscedasticity (GARCH) in modeling and forecasting. Malaysian gold price is used to present the development of the hybrid model. The goodness of fit of the model is measured using Akaike information criteria (AIC) while the
forecasting performance is assessed using bias, variance proportion, covariance proportion and mean absolute percentage error (MAPE). |
| first_indexed | 2025-11-15T01:30:53Z |
| format | Article |
| id | ump-7489 |
| institution | Universiti Malaysia Pahang |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T01:30:53Z |
| publishDate | 2014 |
| publisher | Hikari Ltd |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | ump-74892018-06-27T08:45:29Z http://umpir.ump.edu.my/id/eprint/7489/ A Hybrid Model for Improving Malaysian Gold Forecast Accuracy Maizah Hura, Ahmad Pung, Yean Ping Siti Roslindar, Yaziz Nor Hamizah, Miswan Q Science (General) A hybrid model has been considered an effective way to improve forecast accuracy. This paper proposes the hybrid model of the linear autoregressive moving average (ARIMA) and the non-linear generalized autoregressive conditional heteroscedasticity (GARCH) in modeling and forecasting. Malaysian gold price is used to present the development of the hybrid model. The goodness of fit of the model is measured using Akaike information criteria (AIC) while the forecasting performance is assessed using bias, variance proportion, covariance proportion and mean absolute percentage error (MAPE). Hikari Ltd 2014 Article PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/7489/1/A_Hybrid_Model_for_Improving_Malaysian_Gold_Forecast_Accuracy.pdf Maizah Hura, Ahmad and Pung, Yean Ping and Siti Roslindar, Yaziz and Nor Hamizah, Miswan (2014) A Hybrid Model for Improving Malaysian Gold Forecast Accuracy. International Journal of Mathematical Analysis, 8 (28). pp. 1377-1387. ISSN 1312-8876 (print); 1314-7579 (online). (Published) http://dx.doi.org/10.12988/ijma.2014.45139 DOI: 10.12988/ijma.2014.45139 |
| spellingShingle | Q Science (General) Maizah Hura, Ahmad Pung, Yean Ping Siti Roslindar, Yaziz Nor Hamizah, Miswan A Hybrid Model for Improving Malaysian Gold Forecast Accuracy |
| title | A Hybrid Model for Improving Malaysian Gold Forecast Accuracy |
| title_full | A Hybrid Model for Improving Malaysian Gold Forecast Accuracy |
| title_fullStr | A Hybrid Model for Improving Malaysian Gold Forecast Accuracy |
| title_full_unstemmed | A Hybrid Model for Improving Malaysian Gold Forecast Accuracy |
| title_short | A Hybrid Model for Improving Malaysian Gold Forecast Accuracy |
| title_sort | hybrid model for improving malaysian gold forecast accuracy |
| topic | Q Science (General) |
| url | http://umpir.ump.edu.my/id/eprint/7489/ http://umpir.ump.edu.my/id/eprint/7489/ http://umpir.ump.edu.my/id/eprint/7489/ http://umpir.ump.edu.my/id/eprint/7489/1/A_Hybrid_Model_for_Improving_Malaysian_Gold_Forecast_Accuracy.pdf |