Investigation of Kijang Emas Gold Bullion Coin Price Movement: Application of Stochastic Lee-Carter Model and Chaos Theory

Gold is the ultimate store of value that protects against inflation and offers a safe haven during times of economic crisis. Within these past few years, the gold market has shown a high degree of nonlinearity and uncertainty regarding its price movement which has made it difficult for the investors or gold dealers to know specifically when the right time for profitable transaction is. In order to help the key players in the gold industry, this research was carried out with the purpose of introducing a new forecasting model application which is Stochastic LeeCarter model. Traditionally, this model is used in long run forecasts of age specific mortality rates. This research was done by using the data of Kijang Emas gold bullion coin's selling and buying prices which was retrieved from the Central Bank of Malaysia (BNM). Finally, the paper also discusses on the presence of chaos element through the analysis of Lyapunov Exponent with the aim of better improving the forecasting ability of the Stochastic LeeCarter model for future breakthrough.