Determination of Sample Size for Higher Volatile Data Using New Framework of Box-Jenkins Model With GARCH: A Case Study on Gold Price

• Main Authors: Siti Roslindar, Yaziz, Roslinazairimah, Zakaria, Maizah Hura, Ahmad
• Format: Conference or Workshop Item
• Language: English
• Published: IOP Publishing 2017
• Subjects: Q Science (General)
• Online Access: http://umpir.ump.edu.my/id/eprint/17406/1/Determination%20of%20sample%20size%20for%20higher%20volatile%20data%20using%20new%20framework%20of%20Box-Jenkins%20model%20with%20GARCH-%20A%20case%20study%20on%20gold%20price.pdf; http://umpir.ump.edu.my/id/eprint/17406/; http://dx.doi.org/10.1088/1742-6596/890/1/012161

The model of Box-Jenkins - GARCH has been shown to be a promising tool for forecasting higher volatile time series. In this study, the framework of determining the optimal sample size using Box-Jenkins model with GARCH is proposed for practical application in analysing and forecasting higher volatil...