Approach: Objective of this study was to develop a forecasting model for predicting gold prices based
on economic factors such as inflation, currency price movements and others. Following the melt-down
of US dollars, investors are putting their money into gold because gold plays an important role as a
stabilizing influence for investment portfolios. Due to the increase in demand for gold in Malaysian
and other parts of the world, it is necessary to develop a model that reflects the structure and pattern of
gold market and forecast movement of gold price. The most appropriate approach to the understanding
of gold prices is the Multiple Linear Regression (MLR) model. MLR is a study on the relationship
between a single dependent variable and one or more independent variables, as this case with gold
price as the single dependent variable. The fitted model of MLR will be used to predict the future gold
prices. A naive model known as “forecast-1” was considered to be a benchmark model in order to
evaluate the performance of the model.