基于VaR-GARCH类模型的中国黄金市场风险管理研究

发布时间：2018-03-28 13:08

本文选题：黄金市场　切入点：风险管理　出处：《武汉理工大学》2013年硕士论文

【摘要】：2008年美国次贷危机爆发,继而引发全球金融危机,全球主要金融资产竞相贬值,使国家和个人承受了重大损失。而这段时期黄金价格大幅上扬,显示了很好的保值增值能力,但黄金理财产品的涨幅经常与投资者的预期背道而驰,在这种情况下对黄金市场进行风险管理研究显得很有必要。中国黄金市场发展十分迅速,现已成为全球第一产金大国和全球第二黄金消费国,黄金场内交易量位居世界第一。但中国黄金市场从2002年开始市场化才经历了十多年的发展,存在很多问题尚待解决；我国黄金市场结构不完善,黄金投资品种较少,法律法规滞后,政府存在一定的管制,对我国到黄金市场进行风险管理分析显得很有现实意义。本文重点对中国黄金市场进行风险管理研究。首先,分析近年来世界主要金融资产走势和我国黄金市场的发展情况,说明对我国黄金市场进行风险管理的研究很有必要,并详细介绍了文章的研究背景和研究意义,分析了国内外学者在黄金市场和风险管理方面做的一些研究工作,提出了文章的研究方法和创新点。其次,介绍了黄金产品在中国的使用历史,研究了中国主要黄金市场的发展情况以及未来发展趋势,分析了影响我国黄金价格变动的短期和中长期因素。然后,介绍了风险的定义以及度量的方法,描述了VaR方法的定义、基本原理和计算方法；由于黄金时间序列具有尖峰厚尾的特点,直接使用VaR方法效果不好。GARCH类模型能够很好地处理该类时间序列,这里介绍了5种主要的GARCH类模型,并把VaR方法和GARCH类模型结合构建了VaR-GARCH类模型。接下来对我国黄金市场进行实证分析,选取上海黄金交易所2002年10月31日至2013年5月2日的Au99.99现货每日收盘价为研究对象,根据信息准则,认定基于t分布的VaR-FGARCH(1,1)模型最好地拟合黄金现货产品Au99.99的收益率情况；用失败检验法对模型的有效性和准确性进行测试,结果表明基于t分布的VaR-EGARCH(1,1)模型能够非常有效的度量黄金现货产品Au99.99的市场风险；同时还对模型的条件方差进行了分析,发现了黄金市场大幅波动时间段和国际国内市场的高风险区域相对应,国内黄金市场和国际市场存在一定程度的联动。最后,是本文的结论与建议,给投资者提供一些投资建议,并给出了以后的研究方向。
[Abstract]:In 2008, the subprime mortgage crisis broke out in the United States, which triggered the global financial crisis, and the major financial assets of the world began to depreciate, causing countries and individuals to bear heavy losses. During this period, gold prices rose sharply, showing a good ability to maintain and increase value. But the rise in gold wealth management products often runs counter to investors' expectations, and risk management research in the gold market is necessary. China's gold market has developed very rapidly and has now become the world's largest gold-producing country and the world's second largest gold consumer, with the largest volume of gold trading in the world. However, China's gold market has only experienced more than a decade of development since the beginning of marketization in 2002. There are many problems to be solved, such as the imperfect structure of gold market in our country, the lack of gold investment varieties, the lag of laws and regulations, the existence of certain regulation by the government, and the analysis of risk management to gold market in our country is of great practical significance. This paper focuses on the risk management of China's gold market. Firstly, it analyzes the trend of the world's major financial assets and the development of China's gold market in recent years, and shows that it is necessary to study the risk management of China's gold market. It also introduces the research background and significance of the article, analyzes some research work done by domestic and foreign scholars in gold market and risk management, and puts forward the research methods and innovation points of the article. This paper introduces the history of the use of gold products in China, studies the development of China's main gold markets and its future development trends, and analyzes the short- and medium- and long-term factors that affect the price changes of gold in China. The definition of risk and the method of measurement are introduced, and the definition, basic principle and calculation method of VaR method are described. The direct use of VaR method is not effective. GARCH class model can deal with this kind of time series very well. Five kinds of main GARCH class models are introduced here. The VaR method and the GARCH model are combined to construct the VaR-GARCH model. Then the empirical analysis of the gold market in China is carried out, and the spot daily closing price of Au99.99 from October 31, 2002 to May 2, 2013 is selected as the research object. According to the information criterion, it is concluded that the VaR-FGARCH1) model based on t distribution can best fit the yield of gold spot product Au99.99, and the validity and accuracy of the model are tested by the failure test method. The results show that the VaR-EGARCH1) model based on t distribution can measure the market risk of gold spot product Au99.99 very effectively, and the conditional variance of the model is also analyzed. It is found that there is a certain degree of linkage between the domestic gold market and the international market. Finally, the conclusions and suggestions of this paper are given. To provide investors with some investment advice, and give the direction of future research.
【学位授予单位】：武汉理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54

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