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Predict the Volatility of Gold Future Price using Time Series Models
Nurfazlina Binti Mohamed
Supervisor: Dr. Hanafi Bin A. Rahim
Bachelor of Science (Financial Mathematics)
School of Informatics and Applied Mathematics
This study uses the GARCH, IGARCH and ARCH models to forecast volatility in gold future
prices. At this time, gold is known as a safe place during uncertainties and economic
crises as it is considered more stable than any other asset class. Subsequently, this study
has used weekly data from 5 January 1997 to 31 December 2017 for 10 years to forecast
the volatility of the gold price using the ARCH, GARCH and IGARCH models. The Lagrange
Multiplier we used to test the ARCH effect in the return series. The researcher employ
the ARCH (1), GARCH (1, 1), and IGARCH specifications (1, 1). The results of this study
show that GARCH (1, 1) is a better model than ARCH (1) and IGARCH (1, 1) to forecast
the volatility of gold future prices.
868 | UMT UNDERGRADUATE RESEARCH DAY 2018