基于GARCH模型的国际金价分析与预测

发布时间：2018-01-30 03:14

本文关键词： 黄金价格时间序列 GARCH模型 R软件　出处：《重庆大学》2014年硕士论文　论文类型：学位论文

【摘要】：2007年，美国次贷危机爆发，全球经济陷入一场百年不遇的金融危机中。为应对这场危机，，以美国为代表的世界主要经济体相继出台一系列流动性宽松政策，为全球流动性过剩、信用货币全面贬值的埋下了隐患。黄金，作为最后的支付与保值手段，在2013年之前经历了十多年的牛市最终跌入低谷，世界的经济状况与黄金价格息息相关，其价格走向趋势值得我们关注与研究。国内外对于黄金价格的研究已有好几十年的历史，本文首先介绍了国内外研究学者对黄金价格分析研究的现状，再对目前的国际黄金市场和国际金价介绍和分析，重点从黄金的历史价格变迁和价格影响因素的介绍分析，影响因素包括全球经济发展状况、美国经济状况、宽松货币政策、通货膨胀、政治因素等等。在定性分析的基础之上，利用时间序列的相关知识和R统计软件进行定量解释，通过介绍经典的时间序列ARMA和GARCH模型，并将其运用到国际金价分析的实证研究中。在实证分析中，根据2005年1月26日到2013年12月31日过去8年的2323个黄金价格的历史数据样本，进行正态检验和平稳性检验，基于GARCH模型和R软件给出的结果进行实证分析，并对2014年的黄金价格做出合理预测。
[Abstract]:In 2007, the subprime mortgage crisis broke out in the United States, and the global economy fell into a financial crisis once in a century. The world's major economies represented by the United States have introduced a series of liquidity easing policies, for the global liquidity surplus, the overall devaluation of the credit currency buried hidden dangers. Gold, as the last means of payment and preservation. After more than a decade of bull market decline before 2013, the world economic situation is closely related to the gold price, and the trend of its price trend is worthy of our attention and research. There have been several decades of research on gold price at home and abroad. Firstly, this paper introduces the current situation of gold price analysis by domestic and foreign researchers. Then it introduces and analyzes the current international gold market and the international gold price, focusing on the introduction and analysis of the historical price changes of gold and the factors affecting the price, including the global economic development and the economic situation of the United States. Loose monetary policy, inflation, political factors, etc. On the basis of qualitative analysis, using the relevant knowledge of time series and R statistical software for quantitative interpretation, the classical time series ARMA and GARCH models are introduced. And apply it to the empirical research of international gold price analysis. In the empirical analysis, according to the historical data samples of 2323 gold prices from January 26th 2005 to December 31st 2013 in the past 8 years, the normal test and the stability test are carried out. Based on the results of GARCH model and R software, this paper makes a reasonable forecast of gold price in 2014.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.54;F224

【参考文献】