我国黄金市场波动分析及风险度量

发布时间：2018-01-14 15:08

本文关键词：我国黄金市场波动分析及风险度量　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

更多相关文章： 黄金价格 波动性 GARCH VaR-EGARCH

【摘要】：近年来我国通货膨胀一直保持较高水平,加上我国外汇主要是美元为主,而美元近些年也出现贬值情况,黄金作为一种非常重要的资产保值增值的工具,已经成为近些今年的研究重点。黄金投资产品有其他投资产品所无法比拟的优势。首先,黄金具有非常好的流动性,黄金是世界公认的货币,具有很高的可变现性。其次,黄金有非常好保值能力,环境越动荡,黄金的保值避险能力越突出。再次,黄金的可分割性较好。最后,投资黄金的税率很低,可以起到减低税费。因此黄金不仅需要研究,而且值得研究。本为选取上海黄金交易所2009年11月2日到2013年2月28日的黄金交易价格,采用定性分析与定量分析相结合研究我国的黄金价格波动原因,并且分析其对黄金的影响。本文检验得出我国黄金价格收益率存在ARCH效应,可以用GARCH族进行检验,并用结合VaR-EGARCH模型进行了风险评价。
[Abstract]:In recent years, China's inflation has been maintaining a high level, plus China's foreign exchange is mainly the United States dollar, and the dollar has also depreciated in recent years, gold as a very important tool to maintain and increase the value of assets. Gold investment products have unparalleled advantages over other investment products. First of all, gold has very good liquidity, and gold is recognized as a currency in the world. Second, gold has a very good preservation capacity, the more volatile the environment, the more prominent gold hedge. Thirdly, gold is more divisible. Finally, the tax rate on investment gold is very low. Gold, therefore, not only needs to be studied, but also worth studying. This paper selects the gold trading price of Shanghai Gold Exchange from November 2nd 2009 to February 28th 2013, and studies the reason of gold price fluctuation in China by combining qualitative analysis and quantitative analysis. The paper concludes that there exists ARCH effect in gold price return rate in China, which can be tested by GARCH family. And combined with the VaR-EGARCH model for risk assessment.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54;F224

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