Forecasting Malaysian Gold Using a Hybrid of ARIMA and GJR-GARCH Models
An effective way to improve forecast accuracy is to use a hybrid model. This paper proposes a hybrid model of linear autoregressive moving average (ARIMA) and non-linear GJR-GARCH model also known as TARCH in modeling and forecasting Malaysian gold. The goodness of fit of the model is measured usin...
| Auteurs principaux: | , , , |
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| Format: | Article |
| Langue: | English |
| Publié: |
Hikari Ltd.
2015
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| Sujets: | |
| Accès en ligne: | http://umpir.ump.edu.my/id/eprint/8976/1/Forecasting%20Malaysian%20Gold%20Using%20a%20Hybrid%20of%20ARIMA%20and%20GJR-GARCH%20Models.pdf |