Gold price forecasting using ARIMA-GARCH model during COVID-19 pandemic outbreak

Mat Naji, Anis Suraiya and Yaziz, Siti Roslindar and Zakaria, Roslinazairimah and Mohamad, Nurul Najihah and Ahmad Radi, Noor Fadhilah (2024) Gold price forecasting using ARIMA-GARCH model during COVID-19 pandemic outbreak. In: 3rd International Conference on Applied and Industrial Mathematics and Statistics 2022 (ICoAIMS 2022), 24th - 26th August 2022, Pahang, Malaysia.

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Abstract

Gold has been considered one of the most reliable assets in finance and a safe-haven investment, especially during turbulent conditions in the economy. Taking this into consideration, a new interest began to take place in the study of gold prices during financial turmoil, especially during the unprecedented COVID-19 pandemic outbreak that started at the end of 2019. The COVID-19 pandemic outbreak had caused a huge dramatic change around the globe in all sectors, especially in financial sectors. The method used in this study is the ARIMA-GARCH model which is an integration of the well-established ARIMA model and GARCH model. This integration model is applied to gold prices and could help to handle the volatility characteristic presented in the data. The analysis of gold prices in this study focuses on modeling of gold prices by splitting the data before and during the pandemic. Thus, this method gives an insight into how the ARIMA-GARCH model performs with the data before and during the pandemic. Based on the study, the ARIMA-GARCH model produces a good result with a low value in MAE, RMSE and MAPE for both periods before and during the pandemic.

Item Type:	Proceeding Paper (Other)
Additional Information:	7795/122351
Subjects:	Q Science > QA Mathematics > QA276 Mathematical Statistics
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Science Kulliyyah of Science > Department of Computational and Theoretical Sciences
Depositing User:	Dr Nurul Najihah Mohamad
Date Deposited:	04 Aug 2025 11:47
Last Modified:	04 Aug 2025 11:49
URI:	http://irep.iium.edu.my/id/eprint/122351

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