Forecast the Gold Coin Future Contracts prices by ARIMA models in Iran Mercantile Exchange (IME)

Subject Areas : Financial Knowledge of Securities Analysis

سعید علی احمدی ¹ (مسئول مکاتبات)

Received: 2011-01-05 Accepted : 2011-05-08 Published : 2011-03-21

Keywords: the Gold Coin Future Contracts, ARIMA model, Iran Mercantile Exchange (IME),

Abstract :

This paper is investigated the Forecasting the Gold Coin Future Contracts prices in Iran Mercantile Exchange (IME). In this paper survey the ability the Forecasting the Gold Coin Future Contracts by Box- Jenkins Methodology. The Box- Jenkins Methodology is included the Identification, Estimation, Diagnostic Checking and Forecasting. This result indicates that the ARIMA model with the two lags of Autoregressive and with the two lags of Moving Average is appropriated to predict the Gold Coin Future Contracts prices and have the ability the Forecasting the Gold Coin Future Contracts.