CASE STUDY: JMP045

Modeling Gold Prices

by M Ajoy Kumar, Associate Professor Siddaganga Institute of Technology
Muralidhara A, JMP Global Academic Team

Key Concepts: Stationarity, AR, MA, ARMA, ARIMA, model comparison and diagnostics

Dr. M Ajoy Kumar

Siddaganga Institute of Technology

Muralidhara A

JMP

Objective

Learn univariate time series modeling using US Gold Prices. Build AR, MA, ARMA and ARMA models to analyze the characteristics of the time series data and forecast.

Background

Hari, a research assistant at a leading university, has been asked by his professor to prepare a report on gold prices in the United States. The professor wants Hari to look at the price of gold over a five-year period, analyze the characteristics of gold prices and suggest a suitable univariate model that fits the data.

The Task

Hari is entrusted with the following tasks:

Collect daily gold prices for a five-year period.
Study the unit root property of the data.
Identify a suitable univariate model.
Estimate the parameters of the best fit model.
Perform diagnostic checking of the model.