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Forecasting Gold Price: An Application of Auto Regressive Integrated Moving Average Model

M. O. Faruk, M. M. Hossain

Abstract



In recent years, the trend of the global gold price has attracted a lot of attention and the price of gold has terrifying spike compared to historical trend. In this paper, an attempt has been made to develop a model for forecasting the gold price. The sample data of gold price (in USD per ounce) were taken from January, 1950 to January, 2018. This paper uses the Box-Jenkin's Auto Regressive Integrated Moving Average (ARIMA) methodology for building the forecasting model. Results advocate that ARIMA(1,1,2)(1,1,2)12 is the most suitable model to be used for predicting the gold price.

Keywords


Gold Price, Model Selection, Forecasting, ARIMA Model. .

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