Application of ARIMA model to forecast gold price in Vietnam

Abstract

The paper is dealing with the analysis of the gold price in Vietnam. In line with the outbreak of the global financial crisis, the prices of gold have reached very high level. The gold started to be very attractive and safe investment. Therefore, investors are always looking forward to the research analysis related to the future price of gold. One of the possible methods for the prediction of gold price is ARIMA model historically developed by George Box and Gwilym Jenkins 1976. The paper will use this model for the forecast of gold price in Vietnam. Based on the comprehensive analysis the paper come to the conclusion that how investors could avoid the risks related the price volatility in the international market with gold and as well how this development will influence the prices of gold in Vietnam in the forward market. The forecast Arima (5,1,5) model is excellent in this case with the forecast error is about 3.46%.