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: | , , , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
Hikari Ltd
2014
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| 主題: | |
| 在線閱讀: | 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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| 機構: | Universiti Teknikal Malaysia Melaka |
| 語言: | English |
| 總結: | 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). |
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