Modelling gold price using ARIMA-TGARCH

Statistical models can be used to characterize numerical data so as to understand its behavior and pattern. Gold price model, for example, can give signals to investors as to when they should enter and/or exit the market. To find an appropriate gold price model, it is crucial to choose a model that...

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Main Authors:	Siti Roslindar, Yaziz, Noor Azlinna, Azizan, Maizah Hura, Ahmad, Roslinazairimah, Zakaria
Format:	Article
Language:	English
Published:	Hikari 2016
Subjects:	Q Science (General)
Online Access:	http://umpir.ump.edu.my/id/eprint/14660/ http://umpir.ump.edu.my/id/eprint/14660/ http://umpir.ump.edu.my/id/eprint/14660/ http://umpir.ump.edu.my/id/eprint/14660/1/Modelling%20Gold%20Price%20using%20ARIMA%20%E2%80%93%20TGARCH.pdf

id	ump-14660
recordtype	eprints
spelling	ump-146602018-10-03T06:24:28Z http://umpir.ump.edu.my/id/eprint/14660/ Modelling gold price using ARIMA-TGARCH Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria Q Science (General) Statistical models can be used to characterize numerical data so as to understand its behavior and pattern. Gold price model, for example, can give signals to investors as to when they should enter and/or exit the market. To find an appropriate gold price model, it is crucial to choose a model that reflects the pattern of the price movement so as to make the model fit and adequate. This study examines the performances of ARIMA-TGARCH with five innovations in modeling and forecasting gold prices. The innovations considered include Gaussian, Student’s-t, skewed Student’s-t, generalized error distribution and skewed generalized error distribution. Using daily gold price data from the years 2003 to 2014, this study concluded that a hybrid ARIMA(0,1,0)-TGARCH(1,1) with t-innovation was the best model due to the existence of leverage effect and heavier tail characteristics in the data. Hikari 2016 Article PeerReviewed application/pdf en cc_by http://umpir.ump.edu.my/id/eprint/14660/1/Modelling%20Gold%20Price%20using%20ARIMA%20%E2%80%93%20TGARCH.pdf Siti Roslindar, Yaziz and Noor Azlinna, Azizan and Maizah Hura, Ahmad and Roslinazairimah, Zakaria (2016) Modelling gold price using ARIMA-TGARCH. Applied Mathematical Sciences, 10 (28). pp. 1391-1402. ISSN 1314-7552 (print); 1312-885X (online) http://dx.doi.org/10.12988/ams.2016.511716 doi: 10.12988/ams.2016.511716
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Malaysia Pahang
building	UMP Institutional Repository
collection	Online Access
language	English
topic	Q Science (General)
spellingShingle	Q Science (General) Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria Modelling gold price using ARIMA-TGARCH
description	Statistical models can be used to characterize numerical data so as to understand its behavior and pattern. Gold price model, for example, can give signals to investors as to when they should enter and/or exit the market. To find an appropriate gold price model, it is crucial to choose a model that reflects the pattern of the price movement so as to make the model fit and adequate. This study examines the performances of ARIMA-TGARCH with five innovations in modeling and forecasting gold prices. The innovations considered include Gaussian, Student’s-t, skewed Student’s-t, generalized error distribution and skewed generalized error distribution. Using daily gold price data from the years 2003 to 2014, this study concluded that a hybrid ARIMA(0,1,0)-TGARCH(1,1) with t-innovation was the best model due to the existence of leverage effect and heavier tail characteristics in the data.
format	Article
author	Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria
author_facet	Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria
author_sort	Siti Roslindar, Yaziz
title	Modelling gold price using ARIMA-TGARCH
title_short	Modelling gold price using ARIMA-TGARCH
title_full	Modelling gold price using ARIMA-TGARCH
title_fullStr	Modelling gold price using ARIMA-TGARCH
title_full_unstemmed	Modelling gold price using ARIMA-TGARCH
title_sort	modelling gold price using arima-tgarch
publisher	Hikari
publishDate	2016
url	http://umpir.ump.edu.my/id/eprint/14660/ http://umpir.ump.edu.my/id/eprint/14660/ http://umpir.ump.edu.my/id/eprint/14660/ http://umpir.ump.edu.my/id/eprint/14660/1/Modelling%20Gold%20Price%20using%20ARIMA%20%E2%80%93%20TGARCH.pdf
first_indexed	2023-09-18T22:18:38Z
last_indexed	2023-09-18T22:18:38Z
_version_	1777415507288260608

Modelling gold price using ARIMA-TGARCH

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