PERAMALAN HARGA EMAS DENGAN MODEL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH)

Abstract

Gold was the one of the long-term investment commodities that were considered as the safe heaven for investors. The gold price was strongly influenced by global socioeconomic that causing fluctuations in price changes. The Fluctuations of gold price would be causing the denying of homogeneous variance assumption (heteroscedasticity). The results of this study showing the best model based on the smallest AIC value of-6.8788 was ARIMA (1,1,0) GARCH (1,1).