{"id":"https://openalex.org/W193632030","doi":"https://doi.org/10.36334/modsim.2013.f2.yaziz","title":"The performance of hybrid ARIMA-GARCH modeling in forecasting gold price","display_name":"The performance of hybrid ARIMA-GARCH modeling in forecasting gold price","publication_year":2013,"publication_date":"2013-12-01","ids":{"openalex":"https://openalex.org/W193632030","doi":"https://doi.org/10.36334/modsim.2013.f2.yaziz","mag":"193632030"},"language":"en","primary_location":{"id":"doi:10.36334/modsim.2013.f2.yaziz","doi":"https://doi.org/10.36334/modsim.2013.f2.yaziz","is_oa":true,"landing_page_url":"https://doi.org/10.36334/modsim.2013.f2.yaziz","pdf_url":"https://doi.org/10.36334/modsim.2013.f2.yaziz","source":{"id":"https://openalex.org/S4363604869","display_name":"International Congress on Modelling and Simulation (MODSIM)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th International Congress on Modelling and Simulation","raw_type":"proceedings-article"},"volume":null,"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.36334/modsim.2013.f2.yaziz","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5032100930","display_name":"Siti Roslindar Yaziz","orcid":"https://orcid.org/0000-0002-4466-8083","observed_orcids":["https://orcid.org/0000-0002-4466-8083"]},"institutions":[{"id":"https://openalex.org/I102913810","display_name":"Universiti Malaysia Pahang Al-Sultan Abdullah","ror":"https://ror.org/01704wp68","country_code":"MY","type":"education","lineage":["https://openalex.org/I102913810"]}],"countries":["MY"],"is_corresponding":false,"raw_author_name":"Siti Roslindar, Yaziz","raw_affiliation_strings":["[Universiti Malaysia Pahang]"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"[Universiti Malaysia Pahang]","institution_ids":["https://openalex.org/I102913810"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5050817585","display_name":"Noor Azlinna Azizan","orcid":"https://orcid.org/0000-0002-4331-8209","observed_orcids":["https://orcid.org/0000-0002-4331-8209"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Noor Azlinna, Azizan","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5102994642","display_name":"Roslinazairimah Zakaria","orcid":"https://orcid.org/0000-0002-0263-5865","observed_orcids":["https://orcid.org/0000-0002-0263-5865"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Roslinazairimah, Zakaria","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":null,"display_name":"Maizah Hura, Ahmad","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4576418","display_name":"University of Technology Malaysia","ror":"https://ror.org/026w31v75","country_code":"MY","type":"education","lineage":["https://openalex.org/I4576418"]}],"countries":["MY"],"is_corresponding":false,"raw_author_name":"Maizah Hura, Ahmad","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.8036,"has_fulltext":true,"cited_by_count":28,"citation_normalized_percentile":{"value":0.89974885,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.4832000136375427,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.4832000136375427,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.4553000032901764,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.05920000001788139,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/gold-price-forecasting","display_name":"gold price forecasting","score":0.9909999966621399},{"id":"https://openalex.org/keywords/box-cox-transformation","display_name":"Box-Cox transformation","score":0.9120000004768372},{"id":"https://openalex.org/keywords/volatility-modeling","display_name":"volatility modeling","score":0.7459999918937683},{"id":"https://openalex.org/keywords/arima-model","display_name":"ARIMA model","score":0.7210000157356262},{"id":"https://openalex.org/keywords/forecast-accuracy","display_name":"forecast accuracy","score":0.625},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"heteroscedasticity","score":0.8169999718666077}],"concepts":[{"id":"https://openalex.org/C24338571","wikidata":"https://www.wikidata.org/wiki/Q2566298","display_name":"Autoregressive integrated moving average","level":3,"score":0.889158308506012},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.748419463634491},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5553998947143555},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.47742021083831787},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.43621203303337097},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.25808998942375183},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.21716365218162537},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.188601553440094}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.36334/modsim.2013.f2.yaziz","doi":"https://doi.org/10.36334/modsim.2013.f2.yaziz","is_oa":true,"landing_page_url":"https://doi.org/10.36334/modsim.2013.f2.yaziz","pdf_url":"https://doi.org/10.36334/modsim.2013.f2.yaziz","source":{"id":"https://openalex.org/S4363604869","display_name":"International Congress on Modelling and Simulation (MODSIM)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th International Congress on Modelling and Simulation","raw_type":"proceedings-article"},{"id":"pmh:oai:umpir.ump.edu.my:4260","doi":null,"is_oa":false,"landing_page_url":"http://umpir.ump.edu.my/id/eprint/4260/1/fist-2013-roslindar-the_performance_of.pdf","pdf_url":"http://umpir.ump.edu.my/id/eprint/4260/1/fist-2013-roslindar-the_performance_of.pdf","source":{"id":"https://openalex.org/S4377196561","display_name":"UMP Institutional Repository (Universiti Malaysia Pahang)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I102913810","host_organization_name":"Universiti Malaysia Pahang Al-Sultan Abdullah","host_organization_lineage":["https://openalex.org/I102913810"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"","raw_type":"Conference or Workshop Item"}],"best_oa_location":{"id":"doi:10.36334/modsim.2013.f2.yaziz","doi":"https://doi.org/10.36334/modsim.2013.f2.yaziz","is_oa":true,"landing_page_url":"https://doi.org/10.36334/modsim.2013.f2.yaziz","pdf_url":"https://doi.org/10.36334/modsim.2013.f2.yaziz","source":{"id":"https://openalex.org/S4363604869","display_name":"International Congress on Modelling and Simulation (MODSIM)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th International Congress on Modelling and Simulation","raw_type":"proceedings-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W193632030.pdf","grobid_xml":"https://content.openalex.org/works/W193632030.grobid-xml"},"referenced_works_count":22,"referenced_works":["https://openalex.org/W1501633087","https://openalex.org/W1976611654","https://openalex.org/W1985594416","https://openalex.org/W1987512222","https://openalex.org/W1991001067","https://openalex.org/W1993601879","https://openalex.org/W1996085999","https://openalex.org/W1996940905","https://openalex.org/W2015640273","https://openalex.org/W2019993753","https://openalex.org/W2024783705","https://openalex.org/W2045225208","https://openalex.org/W2054477007","https://openalex.org/W2067388869","https://openalex.org/W2083123173","https://openalex.org/W2117558025","https://openalex.org/W2126540662","https://openalex.org/W2135604164","https://openalex.org/W2138162401","https://openalex.org/W2159590183","https://openalex.org/W2323889475","https://openalex.org/W2536346219"],"related_works":["https://openalex.org/W2066699814","https://openalex.org/W7047539877","https://openalex.org/W7171810276","https://openalex.org/W7215108975","https://openalex.org/W3209347482","https://openalex.org/W52207460","https://openalex.org/W4213297548","https://openalex.org/W2795616544","https://openalex.org/W7154575703","https://openalex.org/W7217892549"],"abstract_inverted_index":{"Gold":[0],"has":[1,195],"been":[2],"considered":[3],"a":[4,16,31,65,252],"safe":[5],"return":[6],"investment":[7],"because":[8],"of":[9,39,68,71,138,140,158,215,223,249],"its":[10,25,59,177],"characteristic":[11],"to":[12,20,42,58,75,94,122,176,205,236],"hedge":[13],"against":[14],"inflation.As":[15],"result,":[17],"the":[18,40,49,79,96,104,126,136,149,156,172,190,197,206,231,238,244],"models":[19,115,147,224],"forecast":[21,43],"gold":[22,44,131,165,258],"must":[23],"reflect":[24],"structure":[26],"and":[27,37,73,85,98,163,184,199,218,220,228,240,254,261],"pattern.Gold":[28],"prices":[29,45],"follow":[30],"natural":[32],"univariate":[33,142],"time":[34,119,143],"series":[35,120,129,144],"data":[36,105,128,173,232,241],"one":[38],"methods":[41],"is":[46,56,83,91,169,251],"Box-Jenkins,":[47],"specifically":[48,145],"autoregressive":[50,111],"integrated":[51],"moving":[52],"average":[53],"(ARIMA)":[54],"models.This":[55],"due":[57,175],"statistical":[60],"properties,":[61],"accurate":[62],"forecasting":[63,121,164,200,209],"over":[64],"short":[66],"period":[67],"time,":[69],"ease":[70],"implementation":[72],"able":[74,93],"handle":[76,95,123],"nonstationary":[77],"data.Despite":[78],"fact":[80],"that":[81,100,109,189,213],"ARIMA":[82,146,216,245],"powerful":[84],"flexible":[86],"in":[87,103,118,125,161,179,225,230,243,257],"forecasting,":[88],"however":[89],"it":[90],"not":[92],"volatility":[97,124,151,227],"nonlinearity":[99],"are":[101,116],"present":[102],"series.Previous":[106],"studies":[107],"showed":[108],"generalized":[110],"conditional":[112],"heteroskedatic":[113],"(GARCH)":[114],"used":[117,170],"commodity":[127],"including":[130],"prices.Hence,":[132],"this":[133,247],"study":[134],"investigate":[135],"performance":[137],"hybridization":[139,248],"potential":[141,235],"with":[148,155],"superior":[150],"model,":[152],"GARCH":[153,221],"incorporates":[154],"formula":[157],"Box-Cox":[159,167],"transformation":[160,168,174],"analyzing":[162],"price.The":[166],"as":[171],"power":[178],"normalizing":[180],"data,":[181],"stabilizing":[182],"variance":[183],"reducing":[185],"heteroskedasticity.Empirical":[186],"results":[187],"indicate":[188],"proposed":[191],"hybrid":[192],"model":[193],"ARIMA-GARCH":[194,250],"improved":[196],"estimating":[198],"accuracy":[201],"by":[202],"fivefold":[203],"compared":[204],"previously":[207],"selected":[208],"method.The":[210],"findings":[211],"suggest":[212],"combination":[214],"(powerful":[217],"flexibility)":[219],"(strength":[222],"handling":[226],"risk":[229],"series)":[233],"have":[234],"overcome":[237],"linear":[239],"limitation":[242],"models.Thus,":[246],"novel":[253],"promising":[255],"approach":[256],"price":[259],"modeling":[260],"forecasting.":[262]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":4},{"year":2018,"cited_by_count":3},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}