Gold price modeling in Indonesia using ARFIMA method

Abstract

Gold investment is the best choice to control finance. Gold is easy to resell if there is a financial need at the unpredictable moment. The data of gold price in Indonesia is a long-term memory data series or a time series data that has a long-term dependency. ARFIMA model is an appropriate model for such long-term memory data series since ARFIMA model has a different parameter value (d) of integer while the value of d in ARFIMA model is non-integer value due to the long-term memory or the long-term dependency. This research aims to obtain the best ARFIMA model of gold price data in Indonesia. It is obtained the value of ARFIMA model (1,d,[3]) with d=1,05716 as the best model.