Forecasting Gold Price with Auto Regressive Integrated Moving Average Model

Authors

  • Naliniprava Tripathy Indian institute of Management Shillong

Abstract

The present study forecasts the gold price of India by using ARIMA (Auto Regressive Integrated Moving Average) model over a period of 25 years from July 1990 to February 2015. The study also uses Mean Absolute Error(MAE), Root Mean Square Error(RMSE), Maximum Absolute Percentage Error(Max APE), Maximum Absolute Error(Max AE), and Mean Absolute Percentage Error(MAPE) to evaluate the accuracy of the model.  The result of the study suggests that ARIMA (0, 1, 1) is the most suitable model used for forecasting the Indian gold prices since it contains least MAPE, Max AE and MAE .The study suggests that the past one-month gold price has a significant impact on current gold price. The result of the study are particularly important to investors, economists, market regulators and policy makers for understanding the effectiveness of gold price to take better investment decision and devise better risk management tools.

Keywords: ARIMA, Gold Price, Forecasting techniques, Multiple Regression

JEL Classifications: G1, G17, C5

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Author Biography

Naliniprava Tripathy, Indian institute of Management Shillong

Dr. Naliniprava Tripathy is Professor and Dean Research at Indian Institute of Management Shillong, India. Prior Joining to Shillong, She has also served as Associate Professor at IIM Indore, India. She holds M.Com, M.Phil, PhD and D.Litt Degree in Management. She is also the recipient of Post-Doctoral Research Award of University Grant Commission, Government of India; New Delhi. She is the author of over 80 scholarly research papers and seven books. Currently she is Editorial Board member of International Journal of Business and Emerging Markets Inderscience Publisher, UK, Editorial Board Member of International Journal of Business and Development Research, Build Bright University, Cambodia Editorial Board Member of The AIMS International Journal of Management, USA, , Editorial Board Member of Global Review of Accounting and Finance, Australia,. She is the Editor of Annual Journal “IIMS Journal of Management Science”. She can be contacted: nalini_prava@yahoo.co.in/nt@iimshillong.in

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Published

2017-07-31

How to Cite

Tripathy, N. (2017). Forecasting Gold Price with Auto Regressive Integrated Moving Average Model. International Journal of Economics and Financial Issues, 7(4), 324–329. Retrieved from http://econjournals.com/index.php/ijefi/article/view/4873

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Articles