ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price
Gold price modelling is crucial in gold price pattern determination since the information can be used for investors to enter and exit the market. The model selection is important and corresponds to the gold price movement characteristics. This study examines the forecasting performance of autoregres...
| Main Authors: | , , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
IOP Publishing
2019
|
| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/27848/1/ARIMA%20and%20symmetric%20GARCH-type%20models%20in%20forecasting.pdf |
| _version_ | 1825813244433924096 |
|---|---|
| author | Siti Roslindar, Yaziz Roslinazairimah, Zakaria Suhartono, . |
| author_facet | Siti Roslindar, Yaziz Roslinazairimah, Zakaria Suhartono, . |
| author_sort | Siti Roslindar, Yaziz |
| collection | UMP |
| description | Gold price modelling is crucial in gold price pattern determination since the information can be used for investors to enter and exit the market. The model selection is important and corresponds to the gold price movement characteristics. This study examines the forecasting performance of autoregressive integrated moving average (ARIMA) with symmetric generalised autoregressive conditional heteroscedastic (GARCH)-type models (standard GARCH, IGARCH and GARCH-M) under three types of innovations that are Gaussian, t and generalized error distributions to model gold price. The proposed models are employed to daily Malaysia gold price from year 2003 to 2014. The empirical results indicate that ARIMA(0,1,0) - standard GARCH(1,1) using t innovations is the most preferred ARIMA with symmetric GARCH-type model. |
| first_indexed | 2024-03-06T12:41:07Z |
| format | Conference or Workshop Item |
| id | UMPir27848 |
| institution | Universiti Malaysia Pahang |
| language | English |
| last_indexed | 2024-03-06T12:41:07Z |
| publishDate | 2019 |
| publisher | IOP Publishing |
| record_format | dspace |
| spelling | UMPir278482021-01-18T04:13:27Z http://umpir.ump.edu.my/id/eprint/27848/ ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price Siti Roslindar, Yaziz Roslinazairimah, Zakaria Suhartono, . QA Mathematics Gold price modelling is crucial in gold price pattern determination since the information can be used for investors to enter and exit the market. The model selection is important and corresponds to the gold price movement characteristics. This study examines the forecasting performance of autoregressive integrated moving average (ARIMA) with symmetric generalised autoregressive conditional heteroscedastic (GARCH)-type models (standard GARCH, IGARCH and GARCH-M) under three types of innovations that are Gaussian, t and generalized error distributions to model gold price. The proposed models are employed to daily Malaysia gold price from year 2003 to 2014. The empirical results indicate that ARIMA(0,1,0) - standard GARCH(1,1) using t innovations is the most preferred ARIMA with symmetric GARCH-type model. IOP Publishing 2019-11-07 Conference or Workshop Item PeerReviewed pdf en cc_by http://umpir.ump.edu.my/id/eprint/27848/1/ARIMA%20and%20symmetric%20GARCH-type%20models%20in%20forecasting.pdf Siti Roslindar, Yaziz and Roslinazairimah, Zakaria and Suhartono, . (2019) ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price. In: Journal of Physics: Conference Series, 2nd International Conference on Applied & Industrial Mathematics and Statistics (ICoAIMS 2019) , 23-25 July 2019 , Kuantan, Pahang, Malaysia. pp. 1-9., 1366 (012126). ISSN 1742-6588 (print); 1742-6596 (online) (Published) https://doi.org/10.1088/1742-6596/1366/1/012126 |
| spellingShingle | QA Mathematics Siti Roslindar, Yaziz Roslinazairimah, Zakaria Suhartono, . ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price |
| title | ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price |
| title_full | ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price |
| title_fullStr | ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price |
| title_full_unstemmed | ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price |
| title_short | ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price |
| title_sort | arima and symmetric garch type models in forecasting malaysia gold price |
| topic | QA Mathematics |
| url | http://umpir.ump.edu.my/id/eprint/27848/1/ARIMA%20and%20symmetric%20GARCH-type%20models%20in%20forecasting.pdf |
| work_keys_str_mv | AT sitiroslindaryaziz arimaandsymmetricgarchtypemodelsinforecastingmalaysiagoldprice AT roslinazairimahzakaria arimaandsymmetricgarchtypemodelsinforecastingmalaysiagoldprice AT suhartono arimaandsymmetricgarchtypemodelsinforecastingmalaysiagoldprice |