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Forecasting Malaysian Gold Using a Hybrid of ARIMA and GJR-GARCH Models

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Figure

Figure 1: Daily 1 oz Malaysian Gold Prices from 3 Jan 2011 to 20 Jan 2015    Returns were used since a downward trend exists in the data
Table 1: Breusch-Godfrey Serial Correlation LM Test
Table 5: Ljung-Box Q-statistics on squared residuals for ARIMA(2,1,2)-GJR(1,1)
Figure 5: In-Sample Forecasting Results of ARIMA (2, 1, 2)-GJR (1, 1)
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