| 基于GARCH族模型的黄金市场的风险度量与预测研究 |
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| 引用本文： | 周茂华,刘骏民,许平祥.基于GARCH族模型的黄金市场的风险度量与预测研究[J].国际金融研究,2011(5). |
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| 作者姓名： | 周茂华 刘骏民 许平祥 |
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| 作者单位： | 南开大学经济学院; |
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| 摘 要： | 本文以上海和伦敦黄金市场的现货交易为对象,比较研究了不同分布假定下RiskMetrics、GARCH族及其衍生模型度量VaR值的精确程度,并对超前一天预测的VaR值进行了失败率检测和动态分位数测试。结果表明:两个市场的收益率分布均具有尖峰厚尾、波动集聚和长记忆性等特征;学生t分布很好的刻画了上海黄金市场的风险特征,而正态分布则适合描述伦敦黄金市场特征;上海黄金市场相比于伦敦黄金市场风险更大。
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| 关 键 词： | 尖峰厚尾 长记忆 GARCH族 VaR |
Risk Measurement and Prediction of World Gold Markets Based on GARCH Family Models |
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| Zhou Maohua Liu Junmin Xu Pingxiang.Risk Measurement and Prediction of World Gold Markets Based on GARCH Family Models[J].Studies of International Finance,2011(5). |
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| Authors: | Zhou Maohua Liu Junmin Xu Pingxiang |
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| Institution: | Zhou Maohua Liu Junmin Xu Pingxiang |
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| Abstract: | Given its unique advantages,VaR is widely accepted as an important tool for financial risk measurement.This paper uses Shanghai and London gold market spot trading as the research objects and conducts a comparative study on VaR measurement accuracy by using RiskMetrics,GARCH family model and its derivatives models under different distribution assumptions.In addition,a failure rate detection and dynamic quantile test are also conducted for the VaR value forecasted one day before.The results showed: the yield... |
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| Keywords: | Fat Tail Long Memory GARCH Family VaR |
| 本文献已被 CNKI 等数据库收录！ |
