基于EGARCH模型的中国黄金市场风险与收益研究
On the return and risk in China gold market based on EGARCH model
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摘要: 本文运用EGARCH(p,q)模型,研究了中国黄金市场的黄金价格波动率,同时通过回归分析,研究了黄金价格风险与收益关系。研究表明:EGARCH(p,q)模型能够较好地拟合黄金价格的波动,且黄金价格日收益率具有波动聚集的特征。同时,模型估计结果也显示,黄金市场的收益与风险呈正相关,且对该市场投资者具有较高的风险补偿。Abstract: This paper investigates the volatility of gold in China gold market using EGARCH (p,q) model and the return and risk relationship using regression. It finds that EGARCH (p,q) model is adaptive in gold price volatility prediction, and, the daily return on gold price generates volatility clusters. Besides, the study also states that there is a positive relationship between return and risk with high risk premium.
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