Dự báo giá vàng Việt Nam sử dụng mô hình Garch

Abstract

The purpose of the current study is to forecast the gold prices of Viet Nam. Two methods are considered, which are Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH), Using Akaike's information criterion (AIC) as the goodness of fit measure, the study concludes that GARCH is a more appropriate model. Analysis are carried out by using the Stata 12.0 and Eviews 9.0 software.