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Peramalan Multivariat untuk Menentukan Harga Emas Global

CHRISTIAN, DAVID and Halim, Siana (2016) Peramalan Multivariat untuk Menentukan Harga Emas Global. Jurnal Teknik Industri, 18 (2). pp. 137-144. ISSN ISSN 1411-2485 print / ISSN 2087-7439 online

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      Abstract

      : Gold is one of the most enticing commodities and a very popular way of investing. Gold’s price is allegedly influenced by another factors such as US Dollar, oil’s price, inflation rate, and stock exchange so that its model is not only affected by its value. The aim of this research is to determine the best forecasting model and influencing factors to gold’s price. This research reviews the univariate modeling as a benchmark and comparison to the multivariate one. Univariate time series is modeled using the ARIMA model which indicates that the fluctuation of the gold prices are following the white noise. Gold’s multivariate modeling is built using the Vector Error Correction Model with oil’s price, US Dollar and Dow Jones indices, and inflation rate as its predictors. Research’s result shows that the VECM model has been able to model the gold’s price well and all factors investigated are influencing gold’s price. US Dollar and oil’s price are negatively correlated with gold’s price as the inflation rate is positively correlated. Dow Jones Index is positively correlated with gold’s price only at its first two periods

      Item Type: Article
      Uncontrolled Keywords: ARIMA; Cointegration; VAR; VECM
      Subjects: H Social Sciences > HA Statistics
      Divisions: Faculty of Industrial Technology > Industrial Engineering Department
      Depositing User: Admin
      Date Deposited: 10 Jan 2017 15:40
      Last Modified: 18 Jan 2019 06:52
      URI: http://repository.petra.ac.id/id/eprint/17516

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