FORECASTING PRICE AND ANALYSING FACTORS INFLUENCING THE PRICE OF GOLD USING ARIMA MODEL AND MULTIPLE REGRESSION ANALYSIS

With the investment demand for gold being on the rise, and a complex set of factors influencing the investment demand for gold, forecasting the price of gold is seen essential but difficult. The paper makes an attempt to forecast the price of gold in the short run through time series modelling using the monthly prices of gold, and identifying the factors influencing the price of gold in the long run through multiple regression analysis. One of the most widely adopted methods for time series modelling Autoregressive integrated moving averages (ARIMA) was used and tested to forecast prices using the monthly prices of gold for the period from 1980 to 2012. However, the model was not identified to be a fit for forecasting the price of gold. The paper then tries to identify the factors influencing the price of gold using the multiple regression analysis.