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Multistep Forecasting for Highly Volatile Data using A New Box-Jenkins and GARCH Procedure
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The study of the multistep ahead forecast is significant for practical application purposes using the proposed statistical model. This study proposes a new procedure of Box-Jenkins and GARCH (or BJ-G) in evaluating the multistep forecasting performance for a highly volatile time series data. The promising results from one-step ahead out-of-sample forecast series using the BJ-G model has motivated the extension to multiple step ahead forecast. In order to achieve the objective, the procedure of multistep ahead forecast for BJ-G model is proposed using R language. In evaluating the performance of the multistep ahead forecast, the proposed procedure is employed to daily world gold price series of 5-year data. Based on the empirical results, the proposed procedure of multistep ahead forecast enhances the existing procedure of BJ-G which is able to provide a promising procedure to assess the performance of the BJ-G model in forecasting a highly volatile time series data. The procedure adds the value of BJ-G model since it allows the model to describe efficiently the characteristics of the volatile series up to n-step ahead forecast.
Keywords: Box-Jenkins, GARCH, highly volatile data, multistep forecast; gold price
Academy of Sciences Malaysia
Title: Multistep Forecasting for Highly Volatile Data using A New Box-Jenkins and GARCH Procedure
Description:
The study of the multistep ahead forecast is significant for practical application purposes using the proposed statistical model.
This study proposes a new procedure of Box-Jenkins and GARCH (or BJ-G) in evaluating the multistep forecasting performance for a highly volatile time series data.
The promising results from one-step ahead out-of-sample forecast series using the BJ-G model has motivated the extension to multiple step ahead forecast.
In order to achieve the objective, the procedure of multistep ahead forecast for BJ-G model is proposed using R language.
In evaluating the performance of the multistep ahead forecast, the proposed procedure is employed to daily world gold price series of 5-year data.
Based on the empirical results, the proposed procedure of multistep ahead forecast enhances the existing procedure of BJ-G which is able to provide a promising procedure to assess the performance of the BJ-G model in forecasting a highly volatile time series data.
The procedure adds the value of BJ-G model since it allows the model to describe efficiently the characteristics of the volatile series up to n-step ahead forecast.
Keywords: Box-Jenkins, GARCH, highly volatile data, multistep forecast; gold price.
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