| Summary: | Gold has been considered one of the most reliable assets in finance and a safe-haven investment, especially during turbulent conditions in the economy. Taking this into consideration, a new interest began to take place in the study of gold prices during financial turmoil, especially during the unprecedented COVID-19 pandemic outbreak that started at the end of 2019. The COVID-19 pandemic outbreak had caused a huge dramatic change around the globe in all sectors, especially in financial sectors. The method used in this study is the ARIMA-GARCH model which is an integration of the well-established ARIMA model and GARCH model. This integration model is applied to gold prices and could help to handle the volatility characteristic presented in the data. The analysis of gold prices in this study focuses on modeling of gold prices by splitting the data before and during the pandemic. Thus, this method gives an insight into how the ARIMA-GARCH model performs with the data before and during the pandemic. Based on the study, the ARIMA-GARCH model produces a good result with a low value in MAE, RMSE and MAPE for both periods before and during the pandemic. © 2024 Author(s).
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