Comparison of Fuzzy Grey Markov Model (1,1) and Fuzzy Grey Markov Model (2,1) in Forecasting Gold Prices in Indonesia

Arthamevia Najwa Soraya, Firdaniza Firdaniza, Kankan Parmikanti

Abstract


Currently, gold investment is considered promising despite the ever-changing price of gold. However, obtaining optimal profits is a challenge for investors. Therefore, a proper forecasting method is needed to forecast the gold price so investors can know the best transaction time. This study used two forecasting methods: the Fuzzy Grey Markov Model (1,1) and a new, never-before-used approach, the Fuzzy Grey Markov Model (2,1). The Fuzzy Grey Markov Model (2,1) approach is interesting because it can be considered for forecast data that shows varying increases and decreases, such as the gold price data used in this study. Both methods are combined models that utilize fuzzy logic to handle uncertainty in data; the Grey model forms a forecasting model, and the Markov chain determines the state transition probability matrix. Next, the error rates of the two methods are compared based on the Mean Absolute Percentage Error (MAPE) value to obtain the best forecasting method. As a result of this study, the Fuzzy Grey Markov Model (1,1) was chosen as the best forecasting method with a MAPE value of 0.28%.

Keywords


Forecasting; Gold Price; Fuzzy Grey Markov Model (1,1); Fuzzy Grey Markov Model (2,1)

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References


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DOI: https://doi.org/10.37905/jjom.v6i2.26679

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