A Hybrid Model for Improving Malaysian Gold Forecast Accuracy

A hybrid model has been considered an effective way to improve forecast accuracy. This paper proposes the hybrid model of the linear autoregressive moving average (ARIMA) and the non-linear generalized autoregressive conditional heteroscedasticity (GARCH) in modeling and forecasting. Malaysian gold...

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Main Authors:	Maizah Hura, Ahmad, Pung, Yean Ping, Siti Roslindar, Yaziz, Nor Hamizah, Miswan
Format:	Article
Language:	English
Published:	Hikari Ltd 2014
Subjects:	Q Science (General)
Online Access:	http://umpir.ump.edu.my/id/eprint/7489/ http://umpir.ump.edu.my/id/eprint/7489/ http://umpir.ump.edu.my/id/eprint/7489/ http://umpir.ump.edu.my/id/eprint/7489/1/A_Hybrid_Model_for_Improving_Malaysian_Gold_Forecast_Accuracy.pdf

id	ump-7489
recordtype	eprints
spelling	ump-74892018-06-27T08:45:29Z http://umpir.ump.edu.my/id/eprint/7489/ A Hybrid Model for Improving Malaysian Gold Forecast Accuracy Maizah Hura, Ahmad Pung, Yean Ping Siti Roslindar, Yaziz Nor Hamizah, Miswan Q Science (General) A hybrid model has been considered an effective way to improve forecast accuracy. This paper proposes the hybrid model of the linear autoregressive moving average (ARIMA) and the non-linear generalized autoregressive conditional heteroscedasticity (GARCH) in modeling and forecasting. Malaysian gold price is used to present the development of the hybrid model. The goodness of fit of the model is measured using Akaike information criteria (AIC) while the forecasting performance is assessed using bias, variance proportion, covariance proportion and mean absolute percentage error (MAPE). Hikari Ltd 2014 Article PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/7489/1/A_Hybrid_Model_for_Improving_Malaysian_Gold_Forecast_Accuracy.pdf Maizah Hura, Ahmad and Pung, Yean Ping and Siti Roslindar, Yaziz and Nor Hamizah, Miswan (2014) A Hybrid Model for Improving Malaysian Gold Forecast Accuracy. International Journal of Mathematical Analysis, 8 (28). pp. 1377-1387. ISSN 1312-8876 (print); 1314-7579 (online) http://dx.doi.org/10.12988/ijma.2014.45139 DOI: 10.12988/ijma.2014.45139
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) Maizah Hura, Ahmad Pung, Yean Ping Siti Roslindar, Yaziz Nor Hamizah, Miswan A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
description	A hybrid model has been considered an effective way to improve forecast accuracy. This paper proposes the hybrid model of the linear autoregressive moving average (ARIMA) and the non-linear generalized autoregressive conditional heteroscedasticity (GARCH) in modeling and forecasting. Malaysian gold price is used to present the development of the hybrid model. The goodness of fit of the model is measured using Akaike information criteria (AIC) while the forecasting performance is assessed using bias, variance proportion, covariance proportion and mean absolute percentage error (MAPE).
format	Article
author	Maizah Hura, Ahmad Pung, Yean Ping Siti Roslindar, Yaziz Nor Hamizah, Miswan
author_facet	Maizah Hura, Ahmad Pung, Yean Ping Siti Roslindar, Yaziz Nor Hamizah, Miswan
author_sort	Maizah Hura, Ahmad
title	A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
title_short	A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
title_full	A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
title_fullStr	A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
title_full_unstemmed	A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
title_sort	hybrid model for improving malaysian gold forecast accuracy
publisher	Hikari Ltd
publishDate	2014
url	http://umpir.ump.edu.my/id/eprint/7489/ http://umpir.ump.edu.my/id/eprint/7489/ http://umpir.ump.edu.my/id/eprint/7489/ http://umpir.ump.edu.my/id/eprint/7489/1/A_Hybrid_Model_for_Improving_Malaysian_Gold_Forecast_Accuracy.pdf
first_indexed	2023-09-18T22:04:08Z
last_indexed	2023-09-18T22:04:08Z
_version_	1777414594513338368

A Hybrid Model for Improving Malaysian Gold Forecast Accuracy

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