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...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hikari
2016
|
| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/14660/1/Modelling%20Gold%20Price%20using%20ARIMA%20%E2%80%93%20TGARCH.pdf |
| _version_ | 1796991604217610240 |
|---|---|
| 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 |
| collection | UMP |
| 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.
|
| first_indexed | 2024-03-06T12:07:56Z |
| format | Article |
| id | UMPir14660 |
| institution | Universiti Malaysia Pahang |
| language | English |
| last_indexed | 2024-03-06T12:07:56Z |
| publishDate | 2016 |
| publisher | Hikari |
| record_format | dspace |
| spelling | UMPir146602018-10-03T06:24:28Z 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). (Published) http://dx.doi.org/10.12988/ams.2016.511716 doi: 10.12988/ams.2016.511716 |
| spellingShingle | Q Science (General) Siti Roslindar, Yaziz Noor Azlinna, Azizan Maizah Hura, Ahmad Roslinazairimah, Zakaria Modelling gold price using ARIMA-TGARCH |
| title | 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_short | Modelling gold price using ARIMA-TGARCH |
| title_sort | modelling gold price using arima tgarch |
| topic | Q Science (General) |
| url | http://umpir.ump.edu.my/id/eprint/14660/1/Modelling%20Gold%20Price%20using%20ARIMA%20%E2%80%93%20TGARCH.pdf |
| work_keys_str_mv | AT sitiroslindaryaziz modellinggoldpriceusingarimatgarch AT noorazlinnaazizan modellinggoldpriceusingarimatgarch AT maizahhuraahmad modellinggoldpriceusingarimatgarch AT roslinazairimahzakaria modellinggoldpriceusingarimatgarch |