Gold price modeling in Indonesia using ARFIMA method. (May 2019)

• Record Type: Journal Article
• Authors: Safitri, D; Mustafid, ; Ispriyanti, D; Sugito,
• Is Part Of: Journal of physics. Volume 1217(2019)
• Publication Date: 2019-05
• Subjects: Physics -- Congresses; 530.5
• DOI: 10.1088/1742-6596/1217/1/012087
• Languages: English
• ISSNs: 1742-6588

Abstract

Abstract: Gold investment is the best choice to control finance. Gold is easy to resell if there is a financial need at the unpredictable moment. The data of gold price in Indonesia is a long-term memory data series or a time series data that has a long-term dependency. ARFIMA model is an appropriate model for such long-term memory data series since ARFIMA model has a different parameter value (d) of integer while the value of d in ARFIMA model is non-integer value due to the long-term memory or the long-term dependency. This research aims to obtain the best ARFIMA model of gold price data in Indonesia. It is obtained the value of ARFIMA model (1, d, [3]) with d=1, 05716 as the best model.