ARIMA Models For Kijang Emas Price Forecasting: Pre- and Post-COVID Analysis

Abstract

Gold has significant economic value in a country's economic landscape, serving as a hedge against inflation, particularly during financial turmoil. In Malaysia, gold is known as Kijang Emas and serves as the official bullion gold coin. The price of gold also impacts stock market dynamics, making understanding its fluctuations essential for risk-averse investors. However, the credibility of gold as an investment has been called into question due to price volatility caused by various factors, including the recent upheaval caused by the COVID-19 pandemic. The goal of this study is to explore the effectiveness of the ARIMA model in modelling and forecasting daily Kijang Emas prices in Malaysia from 2012 to 2022, divided into two phases: pre-COVID-19 and post-COVID-19. Model performance was assessed using metrics such as AIC, MAE, and MAPE. The results that the ARIMA model can analyse and forecast Kijang Emas prices, particularly on post-COVID-19 data with high volatility and uncertainty. This insight is valuable for investors seeking to understand market trends and develop future strategies.