Forecasting Gold Price Returns: A Time Series Analysis

Date

2023-9-11

Author

Cansu, Ceylan

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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.

Subject Keywords

Gold Price, Arima-Garch, Exponential Smoothing, Time Series Analysis, Prophet

URI

https://hdl.handle.net/11511/105228

Collections

Graduate School of Applied Mathematics, Term Project