Forecasting Gold Price Returns: A Time Series Analysis

Cansu, Ceylan
Gold is a valuable metal that has historically been highly regarded by civilizations. It has been used in jewellery industries, decorative purposes and mainly in finance. Especially in uncertain financial environment investors invest in gold to protect themselves unwanted price movements. Forecasting the rate of return of gold is significant issue in financial environment. This paper aims that forecast and compare the return of gold using different time series model. ARIMA-GARCH, ARIMA-EGARCH, ARIMA-TGARCH, Simple exponential smoothing model, Holt’s linear exponential smoothing model and Holt-Winters’ exponential smoothing model has been used and evaluated using by measure of accuracy methods.
Citation Formats
C. Cansu, “Forecasting Gold Price Returns: A Time Series Analysis,” M.S. - Master Of Science Without Thesis, Middle East Technical University, 2023.