Peramalan Multivariate untuk Menentukan Harga Emas Global

David Christian, Siana Halim




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 is modeling gold using multivariate analysis and 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.


Keywords


ARIMA, VAR, VECM, Cointegration, Granger-Causality, IRF

References


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The Journal is published by The Institute of Research & Community Outreach - Petra Christian University. It available online supported by Directorate General of Higher Education - Ministry of National Education - Republic of Indonesia.

©All right reserved 2016.Jurnal Teknik Industri, ISSN: 1411-2485, e-ISSN: 2087-7439

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