The estimation regarding to the return rate of gold prices has been one of the most popular topic for the financial area due to its high return. Therefore, several research studies were carried out to predict the direction of the gold price movement. The aim of this research is to determine the probabilistic transition matrix of the closing returns of gold prices using Markov Chain Model of Fuzzy States (MCFS) with triangular fuzzy numbers. We used this method in order to consider the information while system moves between the extreme values of the states which are more realistic and flexible than the classical Markov Chain technique. With this study, we can say that the use of MCFS can give valuable information to the investors about the gold price movements. (c) 2018 The Authors. Published by Elsevier B.V.