Determination of sample size for higher volatile data using new framework of hybrid Box-Jenkins - GARCH: a case study on gold price

• Main Authors: Siti Roslindar, Yaziz, Roslinazairimah, Zakaria, Maizah Hura, Ahmad
• Format: Conference or Workshop Item
• Language: English; English
• Published: 2017
• Subjects: Q Science (General); T Technology (General)
• Online Access: http://umpir.ump.edu.my/id/eprint/20583/1/36.%20Determination%20of%20Sample%20Size%20for%20Higher%20Volatile%20Data%20using%20New%20Framework%20of%20Hybrid%20Box-Jenkins%20-%20GARCH%20A%20Case%20Study%20on%20Gold%20Price.pdf; http://umpir.ump.edu.my/id/eprint/20583/3/36.1%20Determination%20of%20Sample%20Size%20for%20Higher%20Volatile%20Data%20using%20New%20Framework%20of%20Hybrid%20Box-Jenkins%20-%20GARCH%20-%20A%20Case%20Study%20on%20Gold%20Price.pdf; http://umpir.ump.edu.my/id/eprint/20583/

The hybrid 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 the hybrid Box-Jenkins - GARCH is proposed for practical application in analysing and forecasting highe...