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/8836/1/fist-2015-roslindar-Preliminary%20analysis%20on%20hybrid.pdf |
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| 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 |
| building | UMP Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T01:36:10Z |
| format | Conference or Workshop Item |
| id | ump-8836 |
| institution | Universiti Malaysia Pahang |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T01:36:10Z |
| publishDate | 2015 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | 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.. (Published) http://dx.doi.org/10.1063/1.4907458 |
| spellingShingle | 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 |
| title | 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_short | 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 |
| topic | QA Mathematics |
| 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 |