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Box-Cox transformation of monthly Malaysian gold price range


Citation

Gopal, Kathiresan and Abdul Rahim, Muhammad Firdaus and Adam, Mohd Bakri (2017) Box-Cox transformation of monthly Malaysian gold price range. Malaysian Journal of Mathematical Sciences, 11 (spec. Apr.). pp. 107-118. ISSN 1823-8343; ESSN: 2289-750X

Abstract

Gold has a long history in trading over the past decades until its role in trading was replaced by the introduction of banknotes and coins. Gold is undeniably one of the prime commodities in investments and as well as a hedging tool. Thus, it is important to study the fluctuation in monthly gold price in Malaysia to extract useful information that could benefit investors and the government. In this paper, Box-Cox transformation was applied on the original data to deal with the presence of heteroscedasticity, non-normality and outliers. Monthly gold price data for the period of 2002 to 2011 were obtained to study its fluctuation using range as a measure of dispersion. It is found that the Malaysian gold price range is best described by the Normal distribution with parameters estimated using Maximum Likelihood Estimation.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Science
Institute for Mathematical Research
Publisher: Institute for Mathematical Research, Universiti Putra Malaysia
Notes: Special issue: The 2nd International Conference and Workshop on Mathematical Analysis (ICWOMA 2016)
Keywords: Gold; Malaysian gold price range; Box-Cox transformation
Depositing User: Nabilah Mustapa
Date Deposited: 03 May 2017 04:28
Last Modified: 03 May 2017 04:41
URI: http://psasir.upm.edu.my/id/eprint/51919
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