scholarly journals Forecasting Monthly Gold Prices using ARIMA Model: Evidence from Indian Gold Market

2019 ◽  
Vol 8 (9S3) ◽  
pp. 1373-1376
Keyword(s):  
Moving Average ◽  
Arima Model ◽  
Gold Price ◽  
Data Series ◽  
Suitable Model ◽  
Natural Logarithm ◽  
Price Series ◽  
Gold Market ◽  
Sample Data ◽  
Augmented Dickey Fuller

In this paper an attempt has been made to give an overview of the Indian gold market so as to develop a model enabling the forecast of gold prices in India. One troy ounce is equal to 31.103 grams. The monthly sample data of gold price (in INR per troy ounce) is taken from December 1997 to December 2017.The entire data has been divided into two segments for estimation and validation sample and to find out the efficiency and accuracy of forecasting models. Since the gold price data series have shown much deviation after March 2006 the first segment of the data is taken from the time period of December 1997 to March 2006 and second segment from April 2006 to December 2017.Due to a larger value and a huge time span of the sample data, the natural logarithm of gold price has been taken to conduct the study and build an effective model to forecast future gold prices. The unit root tests of Augmented Dickey Fuller‖ and Philips Perron have been used to test the gold price series as stationary or non-stationary. It is observed that series are stationary at first difference in both the methods. At first difference the ACFs and PACFs were pattern less and statistically not significant. Box-Jenkins’s Autoregressive Integrated Moving Average of Box-Jenkins methodology has been used for developing a forecasting model of gold price in India. Different models of ARIMA have been used to obtain best suitable model for forecasting using Eviews software 10 for both time periods i.e., December 1997 to March 2006 & April 2006 to December 2017

scholarly journals Modelling the Impact of Government Policies on Import on Domestic Price of Indian Gold Using ARIMA Intervention Method

2016 ◽  
Vol 2016 ◽  
pp. 1-6 ◽  
Author(s):  
Jyothi Unnikrishnan ◽  
Kodakanallur Krishnaswamy Suresh
Keyword(s):  
Current Account Deficit ◽  
Moving Average ◽  
Arima Model ◽  
Trade Deficit ◽  
Government Policies ◽  
Suitable Model ◽  
Domestic Price ◽  
Gold Market ◽  
The Government ◽  
The Impact

The study attempts to determine the impact of government policies of import of gold in India on the domestic price of gold during 2013 using Autoregressive Integrated Moving Average (ARIMA) intervention model. 2013 was an amazing year for Indian gold market where the price had reached its zenith. In April 2013, to curb a record trade deficit, India imposed an import duty of 10 percent on gold and tied imports for domestic consumption to exports, creating scarce supply of the yellow metal and boosting premiums to curtail the Current Account Deficit (CAD). The objective of the paper is to model the impact of this intervention by the government on the domestic price of Indian gold. Suitable ARIMA model is fit on the preintervention period and thereafter the effects of the interventions are analysed. The results indicate that ARIMA(1,1,1)is the most suitable model during preintervention period. Intervention analysis reveals that there is significant decrease in domestic price of gold by 56% from 2013. The model may be used by policymakers to analyse the future of gold before framing regulations and policies.

A Stochastic Model to Analyze and Predict Transmission Dynamics of Tuberculosis in Ede Kingdom of Osun State

2018 ◽  
Vol 7 (1) ◽  
Author(s):  
Kehinde Adekunle Bashiru
Keyword(s):  
Process Model ◽  
Goodness Of Fit ◽  
Moving Average ◽  
Arima Model ◽  
Probability Generating Function ◽  
Information Criteria ◽  
Data Series ◽  
Suitable Model ◽  
Birth Process ◽  
Autoregressive Integrated Moving Average

In this study the stochastic process model for estimating the incidence of tuberculosis (TB) infection in Ede kingdom (Ede North and Ede South Local Government Areas) of Osun State was carried out. The probability generating function approach was used to solve the associated birth process model to obtain the estimate of TB incidence. Also time series analysis was carried out using JMulti software to predict future incidence rate of the disease in the study area. Based on Autoregressive Integrated Moving Average (ARIMA) model, the autocorrelation and partial autocorrelation methods and a suitable model to forecast TB infection was obtained.  The goodness of fit was measured using the Akaike Information Criteria (AIC) and Bayesian Information Criteria (BIC). Having satisfied all the model assumptions ARIMA (0,1,1) model with standard error, 6.37086 was found to be the best model for the forecast. It was observed that the forecasted series were close to the actual data series

scholarly journals Time series analysis of reference crop evapotranspiration for Bokaro District, Jharkhand, India

2016 ◽  
Vol 30 (1) ◽  
pp. 51-56 ◽  
Author(s):  
Ratnesh Gautam ◽  
Anand K. Sinha
Keyword(s):  
Water Resources ◽  
Water Resources Management ◽  
Moving Average ◽  
Arima Model ◽  
Likelihood Method ◽  
Data Series ◽  
Crop Evapotranspiration ◽  
Reference Crop Evapotranspiration ◽  
Resources Management ◽  
Reference Crop

AbstractEvapotranspiration is the one of the major role playing element in water cycle. More accurate measurement and forecasting of Evapotranspiration would enable more efficient water resources management. This study, is therefore, particularly focused on evapotranspiration modelling and forecasting, since forecasting would provide better information for optimal water resources management. There are numerous techniques of evapotranspiration forecasting that include autoregressive (AR) and moving average (MA), autoregressive moving average (ARMA), autoregressive integrated moving average (ARIMA), Thomas Feiring, etc. Out of these models ARIMA model has been found to be more suitable for analysis and forecasting of hydrological events. Therefore, in this study ARIMA models have been used for forecasting of mean monthly reference crop evapotranspiration by stochastic analysis. The data series of 102 years i.e. 1224 months of Bokaro District were used for analysis and forecasting. Different order of ARIMA model was selected on the basis of autocorrelation function (ACF) and partial autocorrelation (PACF) of data series. Maximum likelihood method was used for determining the parameters of the models. To see the statistical parameter of model, best fitted model is ARIMA (0, 1, 4) (0, 1, 1)12.

scholarly journals A Time Series Model to Forecast Covid-19 Infection rate in Nigeria Using Box-Jenkins Method

2021 ◽  
Vol 4 (1) ◽  
pp. 83-98
Author(s):  
CA Ortese ◽  
TG Ieren ◽  
AJ Tamber
Keyword(s):  
Task Force ◽  
Moving Average ◽  
Unit Root Test ◽  
Future Trend ◽  
Suitable Model ◽  
Test Parameter ◽  
Autoregressive Integrated Moving Average ◽  
Global Pandemic ◽  
Augmented Dickey Fuller ◽  
One Step

Coronavirus declared as a global pandemic by WHO has emerged as the most aggressive disease negatively affecting more than 90% countries of the world. Nigeria, one of the most populated countries in Africa is not an exception. This study focuses on analyzing the intrinsic patterns in the COVID-19 spread in Nigeria using the Box-Jenkins procedure. Data of daily confirmed cases of COVID-19 in Nigeria was retrieved from Nigeria Centre for Disease Control (NCDC) official website from February 27, 2020 to October 31, 2020 to identify the series components, estimate parameters, develop an appropriate stochastic predictive model and use the model to forecast future trend of the deadly virus. The Autoregressive Integrated Moving Average (ARIMA) of order (0,1,1) was identified as the most suitable model based on the analysis of the autocorrelation (ACF), partial autocorrelation functions (PACF) and Akaike Information Correction (AICc) value. R software version 4.0.3 was used to analyze the trend which moothen the series by using 8-point moving average to extract the irregular component as wellas differencing the series one step further to obtain a stationary series. We performed the Augmented Dickey-Fuller Unit root test, parameter estimation and Ljung-Box test to check the proposed model’s conformity to the stationary univariate process. A 85 – day (1st Oct., 2020 – 24th Jan., 2020)forecast shows a gradual decline in the successive number of confirmed cases of infection indicating the effectiveness of the intervention strategies employed by the Task Force to contain the virus. The concerned authorities can apply the forecasted trend to make further informed decisions on the measures to be put in place to reduce diffusion of the deadly virus into the country.

scholarly journals Modeling and Forecast of COVID-19 Vaccinations Population Size in China: A Non-Clinical Study

2021 ◽  
Author(s):  
Wenbin Du ◽  
Fengrui Hua ◽  
Shengyuan Xu ◽  
You Wu
Keyword(s):  
Public Health ◽  
Moving Average ◽  
Arima Model ◽  
Forecast Model ◽  
Medical Community ◽  
Autoregressive Integrated Moving Average ◽  
Health Authorities ◽  
Worldwide Population ◽  
Sample Data ◽  
Optimum Model

Abstract BACKGROUNDSince its outbreak in December 2019, severe acute respiratory syndrome coronavirus-2, the virus responsible for the COVID-19 pandemic, has considerably affected the worldwide population. Health authorities and the medical community identify vaccines as an effective tool for managing public health.METHODSIn this study, the autoregressive integrated moving average (ARIMA) model built-in Python was adopted to establish the COVID-19 vaccination forecast model. In this study, the sample data were selected from the Our World in Data website. COVID-19 vaccinations administered daily in China from December 16, 2020 to March 21, 2021 were analyzed to establish an autoregressive integrated moving average (ARIMA) model.RESULTSThe built-in ARIMA module function of Python was used, and the optimum model was ARIMA (3, 2, 3) according to the established time series analysis. The analysis showed that the predicted COVID-19 vaccination uptake supplemented well with the actual values with a small relative error.CONCLUSIONSThis indicated that the ARIMA(3, 2, 3) model could be used to forecast the number of COVID-19 vaccinations in China.

Periodic occurrences of annual rainfalls in Eastern India [UPH No. 9 (theme: Variability of extremes) and UPH No.19 (theme: Modelling methods)]

2020 ◽  
Author(s):  
Dr Subhabrata Panda
Keyword(s):  
Polynomial Regression ◽  
Moving Average ◽  
Arima Model ◽  
Rainfall Series ◽  
Rainfall Data ◽  
Annual Rainfall ◽  
Data Series ◽  
Eastern India ◽  
Autoregressive Integrated Moving Average ◽  
The Mean

<p>Long period annual rainfall data series from nine raingauge stations throughout eastern India were analysed. Those data series were for the years 1901 to 1965 for Aijal (Mizoram); 1901 to 1984 for Imphal (Manipur); 1901 to 1986 for Guwahati (Assam), Shillong, Cherrapunji (Meghalaya); 1901 to 1987 for Cuttack (Odisha), Patna (Bihar), Agartala (Tripura), Krishnanagar (West Bengal). Incomplete annual rainfall data were found out by taking average of data of preceding and following years. Each annual rainfall series was divided into modelled period (1901 to 1980 for eight stations except Aijal with 1901 to 1960) and predicted period (data for years left in the series after modelled period for evaluation of the model for prediction of future rainfalls). Each annual rainfall series in the modelled period was first converted into percentage values of the mean annual rainfall and then plotted against year, which showed the oscillations of the historigram about the mean line (Tomlinson, 1987 for New Zealand rainfalls). Such type of characteristic historigrams for all stations showed periodic nature of annual rainfalls throughout eastern India. So, autoregressive integrated moving average (ARIMA) model (Clarke, 1973) was used to evolve a useful model for prediction of future rainfalls. As the ARIMA model was biased for periodicity due to inclusion of both the ‘sin’ and ‘cos’ functions and period length as 12, modelled data series were analysed for polynomial regression. The accepted degrees of polynomials were decided on the basis of analysis of variance (ANOVA). Acceptance of either ARIMA model or polynomial regression was done on the basis of -test. In most of the cases in the observed historigrams the lengths of periods were less than eight years and in some cases those were eight to 12 years and from polynomial regressions in most cases the period lengths varied in between 8 to 12 years, 13 to 22 years and 23 to 37 years; and in rare cases those lengths were 38 years and more. Considering all the limitations in the observed data and 95% confidence interval for ARIMA model, a particular amount of annual rainfall occurred at about 12 years (i.e. almost resembling a Solar Cycle) and that might be concluded after minute analysis of more observed data. Recurrence of flood and drought years can be predicted from such analysis and also by following probability analysis of excess and deficit runs of annual rainfalls (Panda <em>et al</em>., 1996).</p><p>References:</p><p>Clarke, R.T.1973. Mathematical models in hydrology. FAO Irrigation and Drainage Paper No. 19. FAO of the United Nations, Rome. pp.101-108.</p><p>Panda, S.; Datta, D.K. and Das, M.N. (1996). Prediction of drought and flood years in Eastern India using length of runs of annual rainfall. J. Soil Wat. Conserv. India. 40(3&4):184-191.</p><p>          https://www.academia.edu/15034719/Prediction_of_drought_and_flood_years_in_eastern_%20%09India%20using_length_of_runs_of_annual_rainfall</p><p>Tomlinson, A.I. (1987). Wet and dry years – seven years on. Soil & Water. Winter 1987: 8-9. ISSN 0038-0695    </p>

scholarly journals S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA

2020 ◽  
Vol 6 (1) ◽  
Author(s):  
Madhavi Latha Challa ◽  
Venkataramanaiah Malepati ◽  
Siva Nageswara Rao Kolusu
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Moving Average ◽  
Arima Model ◽  
Descriptive Statistics ◽  
Autoregressive Integrated Moving Average ◽  
Augmented Dickey Fuller ◽  
The Mean ◽  
Daily Stock Returns

AbstractThis study forecasts the return and volatility dynamics of S&P BSE Sensex and S&P BSE IT indices of the Bombay Stock Exchange. To achieve the objectives, the study uses descriptive statistics; tests including variance ratio, Augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski Phillips Schmidt and Shin; and Autoregressive Integrated Moving Average (ARIMA). The analysis forecasts daily stock returns for the S&P BSE Sensex and S&P BSE IT time series, using the ARIMA model. The results reveal that the mean returns of both indices are positive but near zero. This is indicative of a regressive tendency in the long-term. The forecasted values of S&P BSE Sensex and S&P BSE IT are almost equal to their actual values, with few deviations. Hence, the ARIMA model is capable of predicting medium- or long-term horizons using historical values of S&P BSE Sensex and S&P BSE IT.

scholarly journals Comparison Between ARIMA and VAR Model Regarding the Forecasting of the Price of Jute Goods in Bangladesh

2018 ◽  
Vol 66 (2) ◽  
pp. 91-94
Author(s):  
Shahanaj Parvin ◽  
Murshida Khanam
Keyword(s):  
Granger Causality ◽  
Moving Average ◽  
Arima Model ◽  
Var Model ◽  
Data Set ◽  
Augmented Dickey Fuller ◽  
Adf Test

In this study we used Autoregrressive Intigrated Moving Average (ARIMA) and Vector Autoregrressive (VAR) model to analyze and forecast the price of total Jute Goods with four of its types, where data has been collected from Bangladesh Jute Mills Corporation (BJMC) from the year 1980-81 to 2013-2014. In this study, a comparison has been made regarding ARIMA model and VAR model to investigate which model is the best to forecast. The methodology employed in this study is the co-integration and Granger Causality under VECM. The Augmented Dickey Fuller (ADF) Test has been performed to test the stationarity of the data set. The findings of this study suggested that in forecasting the price of jute goods of Bangladesh, the ARIMA model is more efficient than VAR model. Dhaka Univ. J. Sci. 66(2): 91-94, 2018 (July)

scholarly journals Prediction of fatal accidents in Indian factories based on ARIMA

2018 ◽  
Vol 18 (18) ◽  
pp. 24-30
Author(s):  
Rajaprasad SVS
Keyword(s):  
Prevention Program ◽  
Moving Average ◽  
Arima Model ◽  
Accident Prevention ◽  
Suitable Model ◽  
Fatal Accidents ◽  
Policy Makers ◽  
Accident Data ◽  
Extent Of Damage ◽  
The Cost

Abstract The inherent benefits of an accident prevention program are generally known only after an accident has occurred. The purpose of implementation of the program is to minimize the number of accidents and cost of damages. Allocation of resources to implement accident prevention program is vital because it is difficult to estimate the extent of damage caused by an accident. Accurate fatal accident predictions can provide a meaningful data that can be used to implement accident prevention program in order to minimize the cost of accidents. This paper forecast the fatal accidents of factories in India by using Auto-Regressive Integrating Moving Average Method (ARIMA) model. Accident data for the available period 1980 to 2013 was collected from the Labour bureau, Government of India to analyze the long term forecasts. Different diagnostic tests are applied in order to check the adequacy of the fitted models. The results show that ARIMA (0, 0, 1) is suitable model for prediction of fatal injuries. The number of fatal accidents is forecasted for the period 2014 to 2019. These results suggest that the policy makers and the Indian labour ministry must focus attention toward increasing fatal accidents and try to find out the reasons. It is also an opportunity for the policy makers to develop policies which may help in minimizing the number fatal accidents.

scholarly journals FORECASTING DROUGHT WITH ARIMA MODEL AND STANDARDIZED PRECIPITATION INDEX (SPI)

2019 ◽  
Vol 1 (2) ◽  
pp. 32-34
Author(s):  
ALFA MOHAMMED SALISU
Keyword(s):  
Moving Average ◽  
Arima Model ◽  
Standardized Precipitation Index ◽  
Precipitation Index ◽  
Data Series ◽  
Drought Forecasting ◽  
Data Set ◽  
Forecasting Accuracy ◽  
Diagnostic Checking ◽  
Auto Regressive

Drought forecasting is an important forecasting procedure for preparing and managing water resources for all creatures. Natural disasters across the regions such as flooding, earthquakes, droughts etc. have caused damages to life as a result of which numerous researches have been conducted to assist in reducing the phenomenon. Consequently, therefore, this study considered using Auto-Regressive Integrated Moving Average (ARIMA) model in forecasting drought using Standardized Precipitation Index (SPI) as a forecasting tool which was used to measure and classify drought. The models are developed to forecast the SPI series. Results indicated the forecasting ability of the ARIMA models which increases as the timescales. The study is aimed at using ARIMA method for modeling SPI data series. The studies used data set made up of 624 months, obtained from 1954 to 2008. In the analysis only SPI3 series was non-seasonal while others have seasonality and Seasonal ARIMA was carried out, SPI12 was significant compared with the forecasting accuracy alongside the diagnostic checking having a minimum error of RMSE and MAE in both testing and training phases. The research contributes to the discovering of feasible forecasting of drought and demonstrates that the established model is good and appropriate for forecasting drought.

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