At various points throughout the history, gold has proved time and acted as a hedge against financial downturn and emerged as an important investment tool. The purpose of this study was to do a short-term forecast of gold price future trend using Auto-regressive Integrated Moving Average (ARIMA) model. Further, Vector Error Correction Model (VECM) was employed to find the correlation between gold and crude oil prices. Among various results obtained from the study, results showed that ARIMA (1,1,1) was the best fit model to predict the future price of gold. VECM analysis suggested that gold prices have long-term correlation with crude oil prices in India.