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Determination of sample size for higher volatile data using new framework of hybrid Box-Jenkins - GARCH: a case study on gold price

The hybrid 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 the hybrid Box-Jenkins - GARCH is proposed for practical application in analysing and forecasting highe...

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Main Authors: Siti Roslindar, Yaziz, Roslinazairimah, Zakaria, Maizah Hura, Ahmad
Format: Conference or Workshop Item
Language:English
English
Published: 2017
Subjects:
Q Science (General)
T Technology (General)
Online Access:http://umpir.ump.edu.my/id/eprint/20583/1/36.%20Determination%20of%20Sample%20Size%20for%20Higher%20Volatile%20Data%20using%20New%20Framework%20of%20Hybrid%20Box-Jenkins%20-%20GARCH%20A%20Case%20Study%20on%20Gold%20Price.pdf
http://umpir.ump.edu.my/id/eprint/20583/3/36.1%20Determination%20of%20Sample%20Size%20for%20Higher%20Volatile%20Data%20using%20New%20Framework%20of%20Hybrid%20Box-Jenkins%20-%20GARCH%20-%20A%20Case%20Study%20on%20Gold%20Price.pdf
http://umpir.ump.edu.my/id/eprint/20583/
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spelling my.ump.umpir.205832018-05-24T03:02:05Z http://umpir.ump.edu.my/id/eprint/20583/ Determination of sample size for higher volatile data using new framework of hybrid Box-Jenkins - GARCH: a case study on gold price Siti Roslindar, Yaziz Roslinazairimah, Zakaria Maizah Hura, Ahmad Q Science (General) T Technology (General) The hybrid 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 the hybrid Box-Jenkins - 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 hybrid Box-Jenkins - GARCH with similar forecasting performance as by using 41-year data. 2017-08 Conference or Workshop Item NonPeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/20583/1/36.%20Determination%20of%20Sample%20Size%20for%20Higher%20Volatile%20Data%20using%20New%20Framework%20of%20Hybrid%20Box-Jenkins%20-%20GARCH%20A%20Case%20Study%20on%20Gold%20Price.pdf application/pdf en http://umpir.ump.edu.my/id/eprint/20583/3/36.1%20Determination%20of%20Sample%20Size%20for%20Higher%20Volatile%20Data%20using%20New%20Framework%20of%20Hybrid%20Box-Jenkins%20-%20GARCH%20-%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 hybrid Box-Jenkins - GARCH: a case study on gold price. In: 1st International Conference On Applied & Industrial Mathematics And Statistics 2017 (ICOAIMS 2017), 8-10 Aug 2017 , Kuantan, Pahang. pp. 1-7.. (Unpublished)
institution Universiti Malaysia Pahang
building UMP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Pahang
content_source UMP Institutional Repository
url_provider http://umpir.ump.edu.my/
language English
English
topic Q Science (General)
T Technology (General)
spellingShingle Q Science (General)
T Technology (General)
Siti Roslindar, Yaziz
Roslinazairimah, Zakaria
Maizah Hura, Ahmad
Determination of sample size for higher volatile data using new framework of hybrid Box-Jenkins - GARCH: a case study on gold price
description The hybrid 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 the hybrid Box-Jenkins - 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 hybrid 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 hybrid Box-Jenkins - GARCH: a case study on gold price
title_short Determination of sample size for higher volatile data using new framework of hybrid Box-Jenkins - GARCH: a case study on gold price
title_full Determination of sample size for higher volatile data using new framework of hybrid Box-Jenkins - GARCH: a case study on gold price
title_fullStr Determination of sample size for higher volatile data using new framework of hybrid Box-Jenkins - GARCH: a case study on gold price
title_full_unstemmed Determination of sample size for higher volatile data using new framework of hybrid Box-Jenkins - GARCH: a case study on gold price
title_sort determination of sample size for higher volatile data using new framework of hybrid box-jenkins - garch: a case study on gold price
publishDate 2017
url http://umpir.ump.edu.my/id/eprint/20583/1/36.%20Determination%20of%20Sample%20Size%20for%20Higher%20Volatile%20Data%20using%20New%20Framework%20of%20Hybrid%20Box-Jenkins%20-%20GARCH%20A%20Case%20Study%20on%20Gold%20Price.pdf
http://umpir.ump.edu.my/id/eprint/20583/3/36.1%20Determination%20of%20Sample%20Size%20for%20Higher%20Volatile%20Data%20using%20New%20Framework%20of%20Hybrid%20Box-Jenkins%20-%20GARCH%20-%20A%20Case%20Study%20on%20Gold%20Price.pdf
http://umpir.ump.edu.my/id/eprint/20583/
_version_ 1643668915192070144
score 13.211869

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