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:	Siti Roslindar, Yaziz, Noor Azlinna, Azizan, Maizah Hura, Ahmad, Roslinazairimah, Zakaria, Agrawal, Manju, Boland, John
Format:	Conference or Workshop Item
Language:	English
Published:	2015
Subjects:	QA Mathematics
Online Access:	http://umpir.ump.edu.my/id/eprint/8836/ http://umpir.ump.edu.my/id/eprint/8836/ http://umpir.ump.edu.my/id/eprint/8836/1/fist-2015-roslindar-Preliminary%20analysis%20on%20hybrid.pdf

id	ump-8836
recordtype	eprints
spelling	ump-88362018-05-02T06:18:52Z http://umpir.ump.edu.my/id/eprint/8836/ Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria 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 2nd 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 application/pdf en http://umpir.ump.edu.my/id/eprint/8836/1/fist-2015-roslindar-Preliminary%20analysis%20on%20hybrid.pdf Siti Roslindar, Yaziz and Noor Azlinna, Azizan and Maizah Hura, Ahmad and Roslinazairimah, Zakaria and Agrawal, Manju and Boland, John (2015) Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price. In: AIP Conference Proceeding, 289, 1643 :The 2nd ISM International Statistical Conference (ISM-II 2014), 12-14 August 2014 , MS Garden Hotel, Kuantan. p. 289.. http://dx.doi.org/10.1063/1.4907458
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Malaysia Pahang
building	UMP Institutional Repository
collection	Online Access
language	English
topic	QA Mathematics
spellingShingle	QA Mathematics Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria 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 2nd 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	Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria Agrawal, Manju Boland, John
author_facet	Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria Agrawal, Manju Boland, John
author_sort	Siti Roslindar, Yaziz
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://umpir.ump.edu.my/id/eprint/8836/ http://umpir.ump.edu.my/id/eprint/8836/ http://umpir.ump.edu.my/id/eprint/8836/1/fist-2015-roslindar-Preliminary%20analysis%20on%20hybrid.pdf
first_indexed	2023-09-18T22:06:50Z
last_indexed	2023-09-18T22:06:50Z
_version_	1777414764642697216

Preliminary Analysis on Hybrid Box-Jenkins - GARCH Modeling In Forecasting Gold Price

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