Al-Barkaat Journal of Finance & Management
  • Year: 2016
  • Volume: 8
  • Issue: 1

Forecasting on Commodity Derivatives Market with Special Reference to Gold and Silver

1Assistant Professor, Department of Commerce, Kristu Jayanti College, Bangalore

2Professor, Department of Commerce, Bharathiar University, Coimbatore

3Assistant Professor, Department of Commerce, Kristu Jayanti College, Bangalore

4Assistant Professor, Department of Commerce, Kristu Jayanti College, Bangalore

*E-mail for correspondence: sridhar.ls@kristujayant.com

Online published on 4 July, 2016.

Abstract

This research attempts, to forecast the commodity market through the frame general equation. The data for the study consists of four month's contract futures prices and spot prices. To forecast the prices, we applied ARIMA model. The ARIMA model fit the lags (p, d, q) 2 1 3 model for Futures (Gold) and ARIMA (p, d, q) 2 1 2 model for Spot (Gold), Futures (Silver) and Spot (Silver) and the standard error lies within the accepted limits, so the model is more appropriate one.

Keywords

Forecasting, Commoditymarket, ARIMA, Gold, Silver