Study on Forecasting of Gold Price Based on Varying-Coefficient Regression Model

Qi Zhang; Jun Hai Ma; Yan Wang

doi:10.4028/www.scientific.net/KEM.467-469.1398

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HomeKey Engineering MaterialsKey Engineering Materials Vols. 467-469Study on Forecasting of Gold Price Based on...

Study on Forecasting of Gold Price Based on Varying-Coefficient Regression Model

Abstract:

U.S. dollar index, oil prices, silver prices, DOW index, OECD leading index and the CRB index are selected and varying-coefficient regression model which has dynamic response to the various variables influence is applied to predict the gold price and improve the prediction accuracy in this paper. In addition, the weighted least squares is adopted as an estimation of the parameters, corrects the traditional least squares method defect which assumes the sample data weights equal points to the prediction, making sample weights larger closer with prediction points. In the choice of weighting function, the paper uses cross validation to gain smoothing parameter. In the last, we predicted the 12 months gold prices from January 2010 December 2010 applies varying-coefficient regression model.

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Periodical:

Key Engineering Materials (Volumes 467-469)

Pages:

1398-1403

DOI:

https://doi.org/10.4028/www.scientific.net/KEM.467-469.1398

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Online since:

February 2011

Authors:

Qi Zhang, Jun Hai Ma, Yan Wang

Keywords:

Cross Validation, Gold Price Forecast, Varying-Coefficient Regression Model, Weighted Least Squares

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References

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