Improving Prediction of Gold Prices through inclusion of Macroeconomic Variables.
This paper uses a method based on multivariate power-normal distribution for predicting future gold prices in Malaysia. First let r(r) be the vector consisting of the month-/ values of m selected macroeconomic variables, and gold price. The month-(/+l) gold price is then modelled to be dependent on...
| Publicado en: | Pertanika Journal of Social Sciences & Humanities Vol. 24; pp. 101 - 108 |
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| Autores principales: | , |
| Formato: | Artículo |
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Universiti Putra Malaysia
Oct2016 Special Issue
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=hlh&AN=123766380&site=ehost-live header: @attributes: shortDbName: hlh uiTerm: 123766380 longDbName: Humanities International Complete uiTag: AN controlInfo: bkinfo: jinfo: jid: 01287702 TKQ jtl: Pertanika Journal of Social Sciences & Humanities issn: 01287702 maglogo: N pubinfo: dt: Oct2016 Special Issue vid: 24 pid: 20751 pub: Universiti Putra Malaysia artinfo: ui: 123766380 ppf: 101 ppct: 7 formats: fmt: @attributes: type: P size: 2.5MB tig: atl: Improving Prediction of Gold Prices through inclusion of Macroeconomic Variables. aug: au: Beh, W. L. Pooi, A. H. affil: Department of Physical and Mathematical Science, Faculty of Science, Universiti Tunku Abdul Rahman, 31900 Kampar, Perak, Malaysia Sunway University Business School, Sunway University, Bandar Sunway, 47500 Selangor, Malaysia su: Gold sales & prices Macroeconomics Economic conditions in Malaysia Parsimonious models Prediction models sug: subj: Gold sales & prices Macroeconomics Economic conditions in Malaysia Parsimonious models Prediction models keyword: macroeconomic variables Multivariate power-normal distribution parsimonious model prediction interval ab: This paper uses a method based on multivariate power-normal distribution for predicting future gold prices in Malaysia. First let r(r) be the vector consisting of the month-/ values of m selected macroeconomic variables, and gold price. The month-(/+l) gold price is then modelled to be dependent on the present and M onpastvalues r (/), r ( / - l) , . . . , r( / - / + l) via a conditional distribution which is derived from a [{m + \)l + l]-dimensional powernormal distribution. The mean of the conditional distribution is an estimate of the month- (/+1) gold price. Meanwhile, the 100(a/2)% and 100(l-cx/2)% points of the conditional distribution can be used to form an out-of-sample prediction interval for the month-(HT) gold price. For a given value of /, 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 / = 2, m = 1 and involving the macroeconomic variable derived from the Gross Domestic Product, Kuala Lumpur Composite Index or Import Trade. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: Y custom: Copyright of Pertanika Journal of Social Sciences & Humanities is the property of Universiti Putra Malaysia and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. item: Pertanika Journal of Social Sciences & Humanities holder: Universiti Putra Malaysia dt: @attributes: year: 2016 holdings: @attributes: islocal: N |
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