Forecasting Futures Gold Prices Using Pulse Function Intervention Analysis Approach

Ariadna Sopia Miranda, Putu Eka Andriani, Sediono Sediono, Idrus Syahzaqi

Abstract


Gold is a precious metal that plays an important role in global trade and is often use as a financial standard in various countries. In 2024, gold prices surged sharply due to global macroeconomic factors, such as economic uncertainty, positioning gold as a safe haven for investors. Accurate predictions of future gold prices are crucial for helping investors make informed decisions and adapt to market changes. In line with Sustainable Development Goal (SDG) 8 on Decent Work and Economic Growth, this study uses the pulse function intervention analysis approach to predict gold prices by identifying patterns of changes in the pre-intervention and post-intervention periods. This study aims to make a significant contribution to the use of comprehensive and relevant predictive tools by considering the effects of interventions, supporting investor decision-making, and contributing to economic growth. The best model was obtained at ARIMA (0,2,1) with intervention parameters b=0, r=2, and s=0. The prediction results show a close alignment with actual data, yielding a MAPE value of 1.289%. Additionally, this model produces the smallest AIC value of 1125.1, an SBC value of 1135.86, and an MSE value of 1403.11, demonstrating excellent predictive capability.

Keywords


Futures Gold Price; ARIMA; Pulse Function; Intervention Analysis

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References


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DOI: http://dx.doi.org/10.12962/j27213862.v8i1.21979

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ISSN:  0216-308X

e-ISSN: 2721-3862

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