Forecasting Malaysian gold using a hybrid of ARIMA and GJR-GARCH models

An effective way to improve forecast accuracy is to use a hybrid model. This paper proposes a hybrid model of linear autoregressive moving average (ARIMA) and non-linear GJR-GARCH model also known as TARCH in modeling and forecasting Malaysian gold. The goodness of fit of the model is measured using...

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Bibliographic Details
Main Authors: Ahmad, Maizah Hura, Pung, Yean Ping, Yaziz, Siti Roslindar, Miswan, Nor Hamizah
Format: Article
Published: Hikari 2015
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Online Access:http://eprints.utm.my/id/eprint/55337/
http://dx.doi.org/10.12988/ams.2015.5124
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