Time series forecasting model for Vietnam gold price

Abstract

Gold prices forecasting is, and has been a challenging task in finance. Statistical and econometrical models are broadly used in analysis and short-term forecasting of gold prices. This paper investigates the movement of Vietnam gold price with the application of time series forecasting methods such as autoregressive integrated moving average (ARIMA) model and exponential smoothing method (ESM). This paper also outlines the practical steps which need to be undertaken to use time series models for forecasting Vietnam gold price. A framework for ARIMA forecasting called Box Jenkins methodology is drawn up. The emphasis is on forecast performance which suggests more focus on both minimizing out-of- sample forecast error and maximizing in-sample “goodness of fit”. The main goal of this study is to present the performance of each method for the task of Vietnam gold price forecasting in order to bring general insights of Vietnam gold market to help individual investors make decisions in gold business activities. Keywords: Vietnam gold prices, Time series forecasting, ARIMA, Exponential Smoothing, Box Jenkins.