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The model of Box-Jenkins -GARCH has been shown to be a promising tool for forecasting higher volatile time series. In this study, the framework of determining the optimal sample size using Box-Jenkins model with GARCH is proposed for practical application in analysing and forecasting higher volatile data. The proposed framework is employed to daily world gold price series from year 1971 to 2013. The data is divided into 12 different sample sizes (from 30 to 10200). Each sample is tested usingdoi:10.1088/1742-6596/890/1/012161 fatcat:ycm3fiaimzhmtk2b5k534gmv7y