Forecasting gold and oil prices considering US-China trade war using vector autoregressive with exogenous input.

Gold investment began to be popular among groups, especially millennial generation. This is because the price of gold tends to rise continuously despite uncertain global economy. The objective of this study is to obtain the forecasting model that accommodate the effect of US-China trade war. The model used is a multivariate model that can accommodate contribution of other variables, which is the vector autoregressive with exogenous input (VARX). These variables consist of commodity prices (gold price, oil price) and political issue (US-China Trade War). The results of the study stated that the best fitted model is VARX(2,0)-I(1,0) in the form of reduced model with MAPE less than 12 percent. Moreover, there was no significant contribution of US-China trade war on gold and oil prices. [ABSTRACT FROM AUTHOR]