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 using...
| Main Authors: | , , , |
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| Format: | Article |
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Hikari
2015
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