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Box-Cox transformation of monthly Malaysian gold price range

Gold has a long history in trading over the past decades until its role in trading was replaced by the introduction of banknotes and coins. Gold is undeniably one of the prime commodities in investments and as well as a hedging tool. Thus, it is important to study the fluctuation in monthly gold pri...

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Main Authors: Gopal, Kathiresan, Abdul Rahim, Muhammad Firdaus, Adam, Mohd Bakri
Format: Article
Language:English
Published: Institute for Mathematical Research, Universiti Putra Malaysia 2017
Online Access:http://psasir.upm.edu.my/id/eprint/51919/1/9.%20kathibun.pdf
http://psasir.upm.edu.my/id/eprint/51919/
http://einspem.upm.edu.my/journal/fullpaper/vol11sapril/9.%20kathibun.pdf
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spelling my.upm.eprints.519192017-05-03T04:41:02Z http://psasir.upm.edu.my/id/eprint/51919/ Box-Cox transformation of monthly Malaysian gold price range Gopal, Kathiresan Abdul Rahim, Muhammad Firdaus Adam, Mohd Bakri Gold has a long history in trading over the past decades until its role in trading was replaced by the introduction of banknotes and coins. Gold is undeniably one of the prime commodities in investments and as well as a hedging tool. Thus, it is important to study the fluctuation in monthly gold price in Malaysia to extract useful information that could benefit investors and the government. In this paper, Box-Cox transformation was applied on the original data to deal with the presence of heteroscedasticity, non-normality and outliers. Monthly gold price data for the period of 2002 to 2011 were obtained to study its fluctuation using range as a measure of dispersion. It is found that the Malaysian gold price range is best described by the Normal distribution with parameters estimated using Maximum Likelihood Estimation. Institute for Mathematical Research, Universiti Putra Malaysia 2017 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/51919/1/9.%20kathibun.pdf Gopal, Kathiresan and Abdul Rahim, Muhammad Firdaus and Adam, Mohd Bakri (2017) Box-Cox transformation of monthly Malaysian gold price range. Malaysian Journal of Mathematical Sciences, 11 (spec. Apr.). pp. 107-118. ISSN 1823-8343; ESSN: 2289-750X http://einspem.upm.edu.my/journal/fullpaper/vol11sapril/9.%20kathibun.pdf
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description Gold has a long history in trading over the past decades until its role in trading was replaced by the introduction of banknotes and coins. Gold is undeniably one of the prime commodities in investments and as well as a hedging tool. Thus, it is important to study the fluctuation in monthly gold price in Malaysia to extract useful information that could benefit investors and the government. In this paper, Box-Cox transformation was applied on the original data to deal with the presence of heteroscedasticity, non-normality and outliers. Monthly gold price data for the period of 2002 to 2011 were obtained to study its fluctuation using range as a measure of dispersion. It is found that the Malaysian gold price range is best described by the Normal distribution with parameters estimated using Maximum Likelihood Estimation.
format Article
author Gopal, Kathiresan
Abdul Rahim, Muhammad Firdaus
Adam, Mohd Bakri
spellingShingle Gopal, Kathiresan
Abdul Rahim, Muhammad Firdaus
Adam, Mohd Bakri
Box-Cox transformation of monthly Malaysian gold price range
author_facet Gopal, Kathiresan
Abdul Rahim, Muhammad Firdaus
Adam, Mohd Bakri
author_sort Gopal, Kathiresan
title Box-Cox transformation of monthly Malaysian gold price range
title_short Box-Cox transformation of monthly Malaysian gold price range
title_full Box-Cox transformation of monthly Malaysian gold price range
title_fullStr Box-Cox transformation of monthly Malaysian gold price range
title_full_unstemmed Box-Cox transformation of monthly Malaysian gold price range
title_sort box-cox transformation of monthly malaysian gold price range
publisher Institute for Mathematical Research, Universiti Putra Malaysia
publishDate 2017
url http://psasir.upm.edu.my/id/eprint/51919/1/9.%20kathibun.pdf
http://psasir.upm.edu.my/id/eprint/51919/
http://einspem.upm.edu.my/journal/fullpaper/vol11sapril/9.%20kathibun.pdf
_version_ 1643835095193223168
score 13.211869

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