Peramalan Multivariate untuk Menentukan Harga Emas Global
Gold is one of the most enticing commodities and a very popular way of investing. Gold’s price is allegedly influenced by another factors such as US Dollar, oil’s price, inflation rate, and stock exchange so that its model is not only affected by its value. The aim of this research is to determine t...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Petra Christian University
2016-12-01
|
| Series: | Jurnal Teknik Industri |
| Subjects: | |
| Online Access: | http://puslit2.petra.ac.id/ejournal/index.php/ind/article/view/19795 |
| _version_ | 1797991509026406400 |
|---|---|
| author | David Christian Siana Halim |
| author_facet | David Christian Siana Halim |
| author_sort | David Christian |
| collection | DOAJ |
| description | Gold is one of the most enticing commodities and a very popular way of investing. Gold’s price is allegedly influenced by another factors such as US Dollar, oil’s price, inflation rate, and stock exchange so that its model is not only affected by its value. The aim of this research is to determine the best forecasting model and influencing factors to gold’s price. This research reviews the univariate modeling as a benchmark and comparison to the multivariate one. Univariate time series is modeled using the ARIMA model which indicates that the fluctuation of the gold prices are following the white noise. Gold’s multivariate modeling is built using the Vector Error Correction Model with oil’s price, US Dollar and Dow Jones indices, and inflation rate as its predictors. Research’s result shows that the VECM model has been able to model the gold’s price well and all factors investigated are influencing gold’s price. US Dollar and oil’s price are negatively correlated with gold’s price as the inflation rate is positively correlated. Dow Jones Index is positively correlated with gold’s price only at its first two periods |
| first_indexed | 2024-04-11T08:53:14Z |
| format | Article |
| id | doaj.art-bbbf4e6a18e9441285df09b2a71fd0ed |
| institution | Directory Open Access Journal |
| issn | 1411-2485 2087-7439 |
| language | English |
| last_indexed | 2024-04-11T08:53:14Z |
| publishDate | 2016-12-01 |
| publisher | Petra Christian University |
| record_format | Article |
| series | Jurnal Teknik Industri |
| spelling | doaj.art-bbbf4e6a18e9441285df09b2a71fd0ed2022-12-22T04:33:25ZengPetra Christian UniversityJurnal Teknik Industri1411-24852087-74392016-12-01182137144Peramalan Multivariate untuk Menentukan Harga Emas GlobalDavid Christian0Siana Halim1 Fakultas Teknologi Industri, Program Studi Teknik Industri, Univesitas Kristen Petra, Jl. Siwalankerto 121-131 Surabaya 60238 Fakultas Teknologi Industri, Program Studi Teknik Industri, Univesitas Kristen Petra, Jl. Siwalankerto 121-131 Surabaya 60238 Gold is one of the most enticing commodities and a very popular way of investing. Gold’s price is allegedly influenced by another factors such as US Dollar, oil’s price, inflation rate, and stock exchange so that its model is not only affected by its value. The aim of this research is to determine the best forecasting model and influencing factors to gold’s price. This research reviews the univariate modeling as a benchmark and comparison to the multivariate one. Univariate time series is modeled using the ARIMA model which indicates that the fluctuation of the gold prices are following the white noise. Gold’s multivariate modeling is built using the Vector Error Correction Model with oil’s price, US Dollar and Dow Jones indices, and inflation rate as its predictors. Research’s result shows that the VECM model has been able to model the gold’s price well and all factors investigated are influencing gold’s price. US Dollar and oil’s price are negatively correlated with gold’s price as the inflation rate is positively correlated. Dow Jones Index is positively correlated with gold’s price only at its first two periodshttp://puslit2.petra.ac.id/ejournal/index.php/ind/article/view/19795ARIMA; Cointegration; VAR; VECM |
| spellingShingle | David Christian Siana Halim Peramalan Multivariate untuk Menentukan Harga Emas Global Jurnal Teknik Industri ARIMA; Cointegration; VAR; VECM |
| title | Peramalan Multivariate untuk Menentukan Harga Emas Global |
| title_full | Peramalan Multivariate untuk Menentukan Harga Emas Global |
| title_fullStr | Peramalan Multivariate untuk Menentukan Harga Emas Global |
| title_full_unstemmed | Peramalan Multivariate untuk Menentukan Harga Emas Global |
| title_short | Peramalan Multivariate untuk Menentukan Harga Emas Global |
| title_sort | peramalan multivariate untuk menentukan harga emas global |
| topic | ARIMA; Cointegration; VAR; VECM |
| url | http://puslit2.petra.ac.id/ejournal/index.php/ind/article/view/19795 |
| work_keys_str_mv | AT davidchristian peramalanmultivariateuntukmenentukanhargaemasglobal AT sianahalim peramalanmultivariateuntukmenentukanhargaemasglobal |