Peramalan Multivariate untuk Menentukan Harga Emas Global
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.
Penulis: David Christian,
Siana Halim
Kode Jurnal: jptindustridd160067
