On the return and risk in China gold market based on EGARCH model

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.