Forecasting of Indian Gold Prices Using Box Jenkins Methodology

Gold is one of the precious metal in the world and a part of by and large all types of civilization. Mankind has always been fascinated by Gold since ancient times. Gold has more concerns due to its value and impact on the economy. The research study is under taken to obtain future forecast of Gold which is an important and eminent commodity, usually its worth is realized during the period of economic crisis and turn out to be a significant phenomenon where emerged as a qualitative entity in financial markets. ARIMA models for forecasting Gold prices are employed to estimate suitable models. In order to develop a univariate Model, monthly data for 38 years (from January1979 to February 2017) has been employed. We have used of Box-Jenkins methodology to forecast time series of Indian Gold prices. Initially a unit root test was applied on monthly data of gold prices. Among the different (ARIMA) models best model is selected as the best model. It is found that ARIMA (1, 1, 1) is the suitable model under Box Jenkins approach of model identification, parameter estimation, diagnostic checking and forecasting future prices which helps us in predicting the future values of Gold.