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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: Ahmad, Maizah Hura, Pung, Yean Ping, Yazir, Siti Roslindar, Miswan, Nor Hamizah
Format: Article
Language:English
Published: Hikari Ltd 2014
Subjects:
QA Mathematics
Online Access:http://eprints.utem.edu.my/id/eprint/13955/1/Nor_Hamizah%27s_Journal_%284%29.pdf
http://eprints.utem.edu.my/id/eprint/13955/
http://dx.doi.org/10.12988/ijma.2014.451 39
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spelling my.utem.eprints.139552015-05-28T04:35:13Z http://eprints.utem.edu.my/id/eprint/13955/ A hybrid model for improving Malaysian gold forecast accuracy Ahmad, Maizah Hura Pung, Yean Ping Yazir, Siti Roslindar Miswan, Nor Hamizah QA Mathematics 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 2014-05-15 Article PeerReviewed application/pdf en http://eprints.utem.edu.my/id/eprint/13955/1/Nor_Hamizah%27s_Journal_%284%29.pdf 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 http://dx.doi.org/10.12988/ijma.2014.451 39
institution Universiti Teknikal Malaysia Melaka
building UTEM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknikal Malaysia Melaka
content_source UTEM Institutional Repository
url_provider http://eprints.utem.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Ahmad, Maizah Hura
Pung, Yean Ping
Yazir, Siti Roslindar
Miswan, Nor Hamizah
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 Ahmad, Maizah Hura
Pung, Yean Ping
Yazir, Siti Roslindar
Miswan, Nor Hamizah
author_facet Ahmad, Maizah Hura
Pung, Yean Ping
Yazir, Siti Roslindar
Miswan, Nor Hamizah
author_sort Ahmad, Maizah Hura
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://eprints.utem.edu.my/id/eprint/13955/1/Nor_Hamizah%27s_Journal_%284%29.pdf
http://eprints.utem.edu.my/id/eprint/13955/
http://dx.doi.org/10.12988/ijma.2014.451 39
_version_ 1665905567220105216
score 13.1944895

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