The purpose of the current study is to forecast the gold prices of Viet Nam. Two methods are considered, which are Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH), Using Akaike's information criterion (AIC) as the goodness of fit measure, the study concludes that GARCH is a more appropriate model. Analysis are carried out by using the Stata 12.0 and Eviews 9.0 software.
