Wavelet transformation and predictability of Gold Price Index Series with ARMA model
Journal Title: International Journal of Experimental Research and Review - Year 2023, Vol 30, Issue 1
Abstract
The U.S. gold futures market has recently attracted significant attention globally in the highly volatile equity and commodity futures markets. This study investigates an efficient algorithm based on ARMA denoising with wavelet transformation to measure the predictability of COMEX gold prices. The wavelet denoising decomposes and extracts the complex underlying structure and can reduce distortions occurring in the time series. The study has analyzed the COMEX gold time series for a period of the past five years, 2017-2022. The results show the outcome of alternative measures of predictability of the time series. The predictive measure with the traditional approaches assumes that the time series are linear and stationary over the long run and fails to explain the accuracy requirement in the short horizons. The results show a significant performance change compared to the conventional forecasting techniques.
Authors and Affiliations
Prabhat Mittal
Keywords
Related Articles
- EP ID EP715438
- DOI https://doi.org/10.52756/ijerr.2023.v30.014
- Views 72
- Downloads 0
An Integrated Entropy-TOPSIS Approach for Electric Vehicle Selection
Electric vehicles (EVs) have gained a significant role in reducing emissions of harmful greenhouse gases, which can result in serious effects like global warming, deteriorating air quality, etc. Thus, it helps tackle con...
The concepts of globalization, transformation and social integration
The article attempts to present concepts and essences of globalization, transformation and social integration. These concepts are still current and evolves, along with dynamic changes in the market.
Reinfection of Chickenpox for the fourth time in an older adult
CPeople with chickenpox often gain lifelong immunity after one infection. In most cases, chickenpox's natural immunity provides significant protection against reinfection. However, patients with a second reinfection have...
Synthesis of Coumarin Based Chemo-Sensors for the Detection of CN¯ Ions
In the modern day, chemistry governs the very essence of life on a sub-atomic level from simple toothpaste to life-saving drugs, we depend on the chemicals that constitute the very essence of existence itself. Therefore,...
Assessment of the impact of the different point sources of pollutants on the river water quality and the evaluation of bioaccumulation of heavy metals into the fish ecosystem thereof
The present study focuses on the evaluation of the river (Ganga) water quality by estimating various quality indicators (also termed the physicochemical parameters) such as pH, temperature, dissolved oxygen (DO), electr...