Time Series Analysis - LBMA Gold Price - html format
This report aimed to explain and predict LBMA Gold price. Two models were utilized. The first one was regression model with interdependent residuals(GLS), and the independent variables were gold ETF volatitility index and its quadratic term. The second one was seasonal ARIMA model. The performances of the two models were close, with 5-step ahead prediction rmse for the gold prices around 35.