Indian Journal of Finance
By: Associated Management Consultants (P) Ltd.Single Issue
Single Issue
- IJF-Sep12-Article4-FORECASTING GOLD PRICE USING GEOMETRIC RANDOM WALK GROWTH MODEL
- Price : 80.00
- Published on March 27, 2013
- Associated Management Consultants (P) Ltd.
- Issues 356
- Language - English
- Published daily
About this issue
Gold price forecast is important to ascertain the performance of gold as a precious commodity in money and capital markets. This paper addresses the applicability of a geometric random walk model also known as ARIMA(0,1,0) with constant and log transformation as a forecasting tool and analyze the performance of forecast for a short-term and long term horizon. Findings suggest that use of a geometric random walk model to gold price data is valid and comparatively better than other regular ARIMA models. In this study, both in sample and out sample and combined sample forecasts were studied. A forecast for the short-range period is developed and validated through the measures of accuracy of the forecast. Key Words: ARIMA, Forecasting, Random Walk, Gold Price
About Indian Journal of Finance
Indian Journal of Finance, a source of sophisticated analysis of developments in the rapidly expanding world of finance, is a monthly journal with topics ranging from corporate to personal finance, insurance to financial economics and derivatives.