Forecasting Gold Price: An Application of Auto Regressive Integrated Moving Average Model

摘要

In recent years, the trend of the global gold price has attracted a lot of attention and the price of gold has terrifying spike compared to historical trend. In this paper, an attempt has been made to develop a model for forecasting the gold price. The sample data of gold price (in USD per ounce) were taken from January, 1950 to January, 2018. This paper uses the Box-Jenkin's Auto Regressive Integrated Moving Average (ARIMA) methodology for building the forecasting model. Results advocate that ARIMA(1,1,2)(1,1,2)12 is the most suitable model to be used for predicting the gold price.