Peramalan Harga Emas Dengan Model Generalized Autoregressive Conditional Heteroscedasticity (Garch)

Abstract

Gold was the one of the long-term investment commodities that were considered as the safe heaven for investors. The gold price was strongly influenced by global socioeconomic that causing fluctuations in price changes. The Fluctuations of gold price would be causing the denying of homogeneous variance assumption (heteroscedasticity). The purpous of This study was to apply Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to model the fluctuations of gold prices. GARCH was the development of Autoregressive Conditional Heteroscedasticity (ARCH) model which was used to model the heterogeneous variance of the mean model. The data used in this study was the daily gold price data from May 5 th , 2015 to May 27 th , 2020. The results of this study showing the best model based on the smallest AIC value of -6.

Peramalan Nilai Ekspor Provinsi Jawa Tengah dengan Metode Fuzzy Time Series Berbasis Algoritma Haneen Talal Jasim

“…Peramalan merupakan dugaan atau perkiraan mengenai terjadinya suatu kejadian atau peristiwa di waktu yang akan datang (Afdianti Nurkhasanah, Suparti, & Sudarno, 2015;Haris, 2020). Peramalan ini sangat berguna dalam berbagai aspek kehidupan, terutama dalam rangka perencanaan untuk menghadapi bahkan mengantisipasi berbagai keadaan yang terjadi pada masa yang akan datang.…”

Gold Price Fluctuation Forecasting Based on Newton and Lagrange Polynomial Interpolation

“…Gold is one of the most popular investment instruments in the world, due to its stable value and ability to last for long periods of time. However, gold prices often experience significant fluctuations, which can affect investor's investment decisions (Radhamani et al, 2022;Tripurana et al, 2022;Haris, 2020). The gold price is the market price of the precious metal gold, which is often used as an investment tool and a reserve of value (Haris, 2020).…”

“…However, gold prices often experience significant fluctuations, which can affect investor's investment decisions (Radhamani et al, 2022;Tripurana et al, 2022;Haris, 2020). The gold price is the market price of the precious metal gold, which is often used as an investment tool and a reserve of value (Haris, 2020). Gold price fluctuations are price changes that occur in a certain period of JURNAL VARIAN | e-ISSN: 2581-2017 time, which can be influenced by various factors.…”

“…Meanwhile, there are articles that discuss machine learning algorithms, approaches, and techniques (Pragna et al, 2022;Radhamani et al, 2022;ul Sami and Junero, 2017;Tripurana et al, 2022) that applied machine learning technique to forecast financial financial indicators, with a primary focus on forecasting the price of gold. In another research, discuss the forecasting of gold prices using Generalized Autoregressive Conditional Heteroscedasticity (Garch) model (Haris, 2020); local polynomial nonparametric method equipped with GUI R (Hendrian et al, 2021); average-based fuzzy time series method (Hariwijaya et al, 2020); multiple linear regression method (Sravani et al, 2021); Nearest Neighbor Retrieval method (Nugroho, 2018); data mining techniques (Mahena et al, 2015). These research explores gold price forecasting in the context of making investment decisions in gold stocks.…”