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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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Main Authors: Yaziz, Siti Roslindar, Azizan, Noor Azlinna, Ahmad, Maizah Hura, Zakaria, Roslinazairimah, Agrawal, Manju, Boland, John
Format: Conference or Workshop Item
Published: 2015
Subjects:
QA Mathematics
Online Access:http://eprints.utm.my/id/eprint/59428/
http://dx.doi.org/10.1063/1.4907458
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spelling my.utm.594282021-12-15T01:00:03Z http://eprints.utm.my/id/eprint/59428/ Preliminary analysis on hybrid Box-Jenkins - GARCH modeling in forecasting gold price Yaziz, Siti Roslindar Azizan, Noor Azlinna Ahmad, Maizah Hura Zakaria, Roslinazairimah 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 2 nd 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 Yaziz, Siti Roslindar and Azizan, Noor Azlinna and Ahmad, Maizah Hura and Zakaria, Roslinazairimah and Agrawal, Manju and Boland, John (2015) Preliminary analysis on hybrid Box-Jenkins - GARCH modeling in forecasting gold price. In: 2nd ISM International Statistical Conference 2014: Empowering the Applications of Statistical and Mathematical Sciences, ISM 2014, 12 August 2014 - 14 August 2014, Kuantan, Pahang. http://dx.doi.org/10.1063/1.4907458
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
topic QA Mathematics
spellingShingle QA Mathematics
Yaziz, Siti Roslindar
Azizan, Noor Azlinna
Ahmad, Maizah Hura
Zakaria, Roslinazairimah
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 2 nd 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 Yaziz, Siti Roslindar
Azizan, Noor Azlinna
Ahmad, Maizah Hura
Zakaria, Roslinazairimah
Agrawal, Manju
Boland, John
author_facet Yaziz, Siti Roslindar
Azizan, Noor Azlinna
Ahmad, Maizah Hura
Zakaria, Roslinazairimah
Agrawal, Manju
Boland, John
author_sort Yaziz, Siti Roslindar
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://eprints.utm.my/id/eprint/59428/
http://dx.doi.org/10.1063/1.4907458
_version_ 1720436910350925824
score 13.211869

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