Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat

Gold is widely known as the most valuable thing in this world which leads to the securing of gold as an investment portfolio among people. In making a profitable investment, it is extremely important to have an accurate decision on the buying and selling periods. Therefore, this paper attempts to an...

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Main Author:	Che Mat, Basyirah
Format:	Thesis
Language:	English
Published:	2016
Subjects:	Precious metals Bullion Analysis
Online Access:	https://ir.uitm.edu.my/id/eprint/17888/1/17888.pdf
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id	my-uitm-ir.17888
record_format	uketd_dc
spelling	my-uitm-ir.178882024-07-26T02:46:33Z Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat 2016 Che Mat, Basyirah Precious metals. Bullion Mathematical statistics. Probabilities Analysis Gold is widely known as the most valuable thing in this world which leads to the securing of gold as an investment portfolio among people. In making a profitable investment, it is extremely important to have an accurate decision on the buying and selling periods. Therefore, this paper attempts to analyze the appropriate forecast method for forecasting Malaysia's own gold bullion coin selling price namely Kijang Emas. The objectives of this research are to investigate the factors that affect the fluctuation of Kijang Emas gold prices, to develop forecasting model by using Multiple Linear Regression (MLR) method according to the factors that affect the Kijang Emas gold prices and to enhance the forecasting method by combining two individual methods, Geometric Brownian Motion (GBM) and MLR method. In order to improve the accuracy of the forecast, the combination of both forecast methods is proposed and it is done by using two combinations of forecasts methods; Simple Equal Weighted Average and Inverse Mean Square Forecast Error Combination method. Then, the forecast accuracy for each method is calculated by using Mean Absolute Percentage Error (MAPE) and the last result shows that the combination of forecast with Inverse Mean Square Forecast Error Combination method gives the lowest MAPE result. Hence, this method is highly recommended to be used in forecasting Kijang Emas selling price. 2016 Thesis https://ir.uitm.edu.my/id/eprint/17888/ https://ir.uitm.edu.my/id/eprint/17888/1/17888.pdf text en public mphil masters Universiti Teknologi MARA (UiTM) Faculty of Computer and Mathematical Sciences Shamsul Ambia, Shahirulliza
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
advisor	Shamsul Ambia, Shahirulliza
topic	Precious metals Bullion Precious metals Bullion Analysis
spellingShingle	Precious metals Bullion Precious metals Bullion Analysis Che Mat, Basyirah Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
description	Gold is widely known as the most valuable thing in this world which leads to the securing of gold as an investment portfolio among people. In making a profitable investment, it is extremely important to have an accurate decision on the buying and selling periods. Therefore, this paper attempts to analyze the appropriate forecast method for forecasting Malaysia's own gold bullion coin selling price namely Kijang Emas. The objectives of this research are to investigate the factors that affect the fluctuation of Kijang Emas gold prices, to develop forecasting model by using Multiple Linear Regression (MLR) method according to the factors that affect the Kijang Emas gold prices and to enhance the forecasting method by combining two individual methods, Geometric Brownian Motion (GBM) and MLR method. In order to improve the accuracy of the forecast, the combination of both forecast methods is proposed and it is done by using two combinations of forecasts methods; Simple Equal Weighted Average and Inverse Mean Square Forecast Error Combination method. Then, the forecast accuracy for each method is calculated by using Mean Absolute Percentage Error (MAPE) and the last result shows that the combination of forecast with Inverse Mean Square Forecast Error Combination method gives the lowest MAPE result. Hence, this method is highly recommended to be used in forecasting Kijang Emas selling price.
format	Thesis
qualification_name	Master of Philosophy (M.Phil.)
qualification_level	Master's degree
author	Che Mat, Basyirah
author_facet	Che Mat, Basyirah
author_sort	Che Mat, Basyirah
title	Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
title_short	Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
title_full	Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
title_fullStr	Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
title_full_unstemmed	Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat
title_sort	combining geometric brownian motion model and multiple linear regression model for predicting kijang emas selling price / basyirah che mat
granting_institution	Universiti Teknologi MARA (UiTM)
granting_department	Faculty of Computer and Mathematical Sciences
publishDate	2016
url	https://ir.uitm.edu.my/id/eprint/17888/1/17888.pdf
_version_	1811768598527475712

Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat

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