| 基于GARCH族模型的黄金价格收益率及波动性研究 |
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| 引用本文： | 曹野. 基于GARCH族模型的黄金价格收益率及波动性研究[J]. 价值工程, 2012, 31(2): 153-155 |
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| 作者姓名： | 曹野 |
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| 作者单位： | 河海大学商学院,南京,211100 |
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| 摘 要： | 文章应用GARCH族模型对黄金现货价格的收益率及波动性进行实证研究,实证结果表明黄金价格日收益率具有"尖峰厚尾"和"波动聚类"的特征。通过TGARCH及EGARCH模型发现我国黄金市场存在非对称性现象,正的冲击对黄金价格波动影响更大。
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| 关 键 词： | 黄金价格 GARCH族模型 非对称性 |
Research on the Returns and Volatility of Gold Spot Price Based on GARCH Family Models |
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| Cao Ye. Research on the Returns and Volatility of Gold Spot Price Based on GARCH Family Models[J]. Value Engineering, 2012, 31(2): 153-155 |
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| Authors: | Cao Ye |
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| Affiliation: | Cao Ye(Business School of Hohai University,Nanjing 211100,China) |
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| Abstract: | This paper applied GARCH family models to study the returns and volatility of gold spot price.Empirical results show that the daily return of gold prices has the characteristics of "fat-tail peak" and "clustering of volatility".By using TGARCH model and EGARCH model,it shows that there is asymmetry in gold market and positive impacts bring a greater impact on gold price volatility. |
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| Keywords: | gold price GARCH family models asymmetry |
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