Gold is a precious metal that plays a vital role in global trade and is often used as a financial standard and a safe-haven investment during times of uncertainty. In 2024, gold prices surged due to high demand from central banks, geopolitical instability, and economic concerns such as inflation and global conflicts. Accurate forecasting of gold futures prices is crucial for investors and policymakers to make informed decisions, manage risks, and support sustainable economic growth in line with Sustainable Development Goal (SDG) 8.

This study applies the pulse function intervention analysis approach to forecast gold futures prices by identifying sudden external shocks and their impact on time series data. Weekly gold price data from July 2022 to July 2024 were used, divided into pre-intervention and post-intervention segments. The intervention point was set in March 2024, coinciding with a sharp increase in gold prices. The ARIMA (0,2,1) model was selected as the best fit for the pre-intervention data based on criteria such as stationarity, white noise residuals, normal distribution, and the lowest AIC, SBC, and MSE values. The final intervention model used parameters b = 0, r = 2, and s = 0, indicating an immediate and temporary effect with a wave pattern.

The model demonstrated excellent predictive performance, achieving a Mean Absolute Percentage Error (MAPE) of 1.289%, an AIC of 1125.1, SBC of 1135.86, and MSE of 1403.11, confirming its robustness. The forecasted values closely matched actual market data, although the predicted trend showed a slight decline while actual prices increased, likely due to factors not captured by the model. Overall, intervention analysis with a pulse function has proven effective in capturing the impact of sudden events on gold prices, providing valuable insights for investors.

Author: Sediono, Drs., M.Si