1. UKM Learning and Research Repository
  2. Journal Article / Artikel Jurnal
  3. Journal Content Pages/ Kandungan Halaman Jurnal
Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/579216
Full metadata record
DC FieldValueLanguage
dc.contributor.authorBeh W. L
dc.contributor.authorPooi A. H
dc.date.accessioned2023-11-06T03:17:44Z-
dc.date.available2023-11-06T03:17:44Z-
dc.date.issued2016-10
dc.identifier.issn0128-7702
dc.identifier.otherukmvital:116531
dc.identifier.urihttps://ptsldigital.ukm.my/jspui/handle/123456789/579216-
dc.descriptionThis paper uses a method based on multivariate power-normal distribution for predicting future gold prices in Malaysia. First let r(t) be the vector consisting of the month-t values of m selected macroeconomic variables, and gold price. The month-(t+1) gold price is then modelled to be dependent on the present and l-1 on past values r(t), r(t ?1), …, r(t ? l +1) via a conditional distribution which is derived from a [(m +1)l +1]-dimensional powernormal distribution. The mean of the conditional distribution is an estimate of the month-(t+1) gold price. Meanwhile, the 100(?/2)% and 100(1-?/2)% points of the conditional distribution can be used to form an out-of-sample prediction interval for the month-(t+1) gold price. For a given value of l, we select various combinations of m variables from a pool of 17 selected macroeconomic variables in Malaysia, and obtain the combinations of which the corresponding mean absolute percentage errors (MAPE) are relatively smaller while the coverage probabilities and average lengths of the prediction interval are still satisfactory. It is found that the parsimonious model is one of which l = 2, m = 1 and involving the macroeconomic variable derived from the Gross Domestic Product, Kuala Lumpur Composite Index or Import Trade.
dc.language.isoen
dc.publisherUniversiti Putra Malaysia Press
dc.relation.haspartPertanika Journals
dc.relation.urihttp://www.pertanika.upm.edu.my/view_archives.php?journal=JSSH-24-S-10
dc.rightsUKM
dc.subjectMultivariate power-normal distribution
dc.subjectMacroeconomic variables
dc.subjectPrediction interval
dc.subjectParsimonious model
dc.titleImproving prediction of gold prices through inclusion of macroeconomic variables
dc.typeJournal Article
dc.format.volume24
dc.format.pages101-108
dc.format.issueSpecial Issue
Appears in Collections:Journal Content Pages/ Kandungan Halaman Jurnal

Files in This Item:
File Description SizeFormat 
ukmvital_116531+Source01+Source010.PDF262.14 kBAdobe PDFThumbnail
View/Open
Show simple item record Recommend this item


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.