A hybrid model for improving Malaysian gold forecast accuracy

Ahmad, Maizah Hura and Pung, Yean Ping and Yazir, Siti Roslindar and Miswan, Nor Hamizah (2014) A hybrid model for improving Malaysian gold forecast accuracy. International Journal of Mathematical Analysis, 8 (28). pp. 1377-1387. ISSN 1314-7579

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Abstract

A hybrid model has been considered an effective way to improve forecast accuracy. This paper proposes the hybrid model of the linear autoregressive moving average (ARIMA) and the non-linear generalized autoregressive conditional heteroscedasticity (GARCH) in modeling and forecasting. Malaysian gold price is used to present the development of the hybrid model. The goodness of fit of the model is measured using Akaike information criteria (AIC) while the forecasting performance is assessed using bias, variance proportion, covariance proportion and mean absolute percentage error (MAPE).

Item Type:	Article
Uncontrolled Keywords:	ARIMA-GARCH, hybrid model,heteroscedasticity, volatility clustering
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Engineering Technology > Department of Mechanical Engineering Technology
Depositing User:	Nor Hamizah Miswan
Date Deposited:	21 Jan 2015 02:19
Last Modified:	28 May 2015 04:35
URI:	http://eprints.utem.edu.my/id/eprint/13955
Statistic Details:	View Download Statistic

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