Incorporating long memory into the modeling of gold prices
Inflation causes many people to move to gold as an option for savings because gold may be used as a hedging tool against currency devaluation and purchasing power erosion. This has contributed to the increased interest in forecasting the prices at the gold market, just like predicting the prices at the stock market, which exhibits uncertain movement, which can be described mathematically with Geometric Brownian Motion (GBM) and Geometric Fractional Brownian Motion (GFBM). This study aims to model Malaysian gold prices using both GBM and GFBM processes and compare the