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Submitted
March 9, 2021
Accepted
January 7, 2022
Published
February 14, 2022
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Abstract

Gold is a multifunctional precious metal. Apart from being jewelry, gold is a form of investment. For this reason, the public or investors need to know the estimated daily gold price for transactions for the public or investors who want to invest or also want to sell their gold, so they do not lose. This is the aim of this study. Many forecasting methods can be used to predict the daily gold price, but this study uses the ARIMA-GARCH hybrid model because this model can predict econometric models such as the daily gold price which usually contains high volatility. Daily gold price data was secondary data obtained from the investing.com website. The data was for the period March 12, 2016, to December 31, 2020. The results of this study are obtained for the ARIMA (1,1,1) -GARCH (2,1) hybrid model with a root mean square error (RMSE) forecasting accuracy value is 2.375454, the mean absolute error (MAE) is 1.702908, and the mean absolute percentage error (MAPE) is 0.001168113. From the results of this study, long-term investment is very profitable because there is an upward trend from the model obtained. For short-term investments, the public or investors have to update the research result model because the current gold price is influenced by the gold price only one period ago, so that when trading does not lose.

Keywords

Forecasting daily gold pForecasting daily gold price investment hybrid ARIMA-GARCHrice hybrid ARIMA-GARCH

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Author Biographies

Sigit Setyowibowo, STMIK PPKIA Pradnya Paramita

Technology Information Departement

Mohamad As'ad, STMIK PPKIA Pradnya Paramita

Technology Information Departement

Sujito Sujito, STMIK PPKIA Pradnya Paramita

Technology Information Departement

Eni Farida, STMIK PPKIA Pradnya Paramita

System Information Departement
How to Cite
Setyowibowo, S., As’ad, M., Sujito, S., & Farida, E. (2022). Forecasting of Daily Gold Price using ARIMA-GARCH Hybrid Model. Jurnal Ekonomi Pembangunan, 19(2), 257–270. https://doi.org/10.29259/jep.v19i2.13903
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