A Gold’s Price Forecasting Model

This study aims to determine the effect of inflation, the Dollar index, world oil prices, the Dow Jones index, and the economic crisis on the price of gold in the derivatives market. The study period is from January 2003 to December 2020. The research finds that the best model used in predicting gold price is Threshold Autoregressive Conditional Heteroscedasticity (TARCH)(1,2,2) with the lowest Akaike Information Criterion (AIC) value compared to other models and the value of Goodness of Fit highest from 3 other selected models. All independent variables are found to affect the price of gold. The study also found a variant of the gold price determined by the variant as well as the residual price of gold in the previous period. Another interesting finding is that volatility in gold prices has an asymmetric effect on the market. Inflation is statistically significant in weakening the effect of world oil prices on gold prices.