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A Hybrid Model for Improving Malaysian Gold Forecast Accuracy

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...

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Main Authors: Maizah Hura, Ahmad, Pung, Yean Ping, Siti Roslindar, Yaziz, Nor Hamizah, Miswan
Format: Article
Language:English
Published: Hikari Ltd 2014
Subjects:
Q Science (General)
Online Access:http://umpir.ump.edu.my/id/eprint/7489/1/A_Hybrid_Model_for_Improving_Malaysian_Gold_Forecast_Accuracy.pdf
http://umpir.ump.edu.my/id/eprint/7489/
http://dx.doi.org/10.12988/ijma.2014.45139
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spelling my.ump.umpir.74892018-06-27T08:45:29Z http://umpir.ump.edu.my/id/eprint/7489/ A Hybrid Model for Improving Malaysian Gold Forecast Accuracy Maizah Hura, Ahmad Pung, Yean Ping Siti Roslindar, Yaziz Nor Hamizah, Miswan Q Science (General) 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). Hikari Ltd 2014 Article PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/7489/1/A_Hybrid_Model_for_Improving_Malaysian_Gold_Forecast_Accuracy.pdf Maizah Hura, Ahmad and Pung, Yean Ping and Siti Roslindar, Yaziz and Nor Hamizah, Miswan (2014) A Hybrid Model for Improving Malaysian Gold Forecast Accuracy. International Journal of Mathematical Analysis, 8 (28). pp. 1377-1387. ISSN 1312-8876 (print); 1314-7579 (online) http://dx.doi.org/10.12988/ijma.2014.45139 DOI: 10.12988/ijma.2014.45139
institution Universiti Malaysia Pahang
building UMP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Pahang
content_source UMP Institutional Repository
url_provider http://umpir.ump.edu.my/
language English
topic Q Science (General)
spellingShingle Q Science (General)
Maizah Hura, Ahmad
Pung, Yean Ping
Siti Roslindar, Yaziz
Nor Hamizah, Miswan
A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
description 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).
format Article
author Maizah Hura, Ahmad
Pung, Yean Ping
Siti Roslindar, Yaziz
Nor Hamizah, Miswan
author_facet Maizah Hura, Ahmad
Pung, Yean Ping
Siti Roslindar, Yaziz
Nor Hamizah, Miswan
author_sort Maizah Hura, Ahmad
title A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
title_short A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
title_full A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
title_fullStr A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
title_full_unstemmed A Hybrid Model for Improving Malaysian Gold Forecast Accuracy
title_sort hybrid model for improving malaysian gold forecast accuracy
publisher Hikari Ltd
publishDate 2014
url http://umpir.ump.edu.my/id/eprint/7489/1/A_Hybrid_Model_for_Improving_Malaysian_Gold_Forecast_Accuracy.pdf
http://umpir.ump.edu.my/id/eprint/7489/
http://dx.doi.org/10.12988/ijma.2014.45139
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score 13.18916

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