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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| Main Authors: | , , , |
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| Format: | Article |
| Published: |
Hikari
2015
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| Subjects: | |
| Online Access: | http://eprints.utm.my/id/eprint/55337/ http://dx.doi.org/10.12988/ams.2015.5124 |
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| Institution: | Universiti Teknologi Malaysia |