中国黄金现货市场风险度量研究

来源期刊：黄金2011年第2期

论文作者：郑秀田

文章页码：7 - 10

关键词：黄金现货市场； 风险度量； VaR-EGARCH-GED模型

Key words：gold spot market； risk measurement； VaR-EGARCH-GED model

摘    要：对于黄金现货市场的参与者来说,较好地度量市场风险至关重要。VaR是度量市场风险的有效方法之一。通过建立VaR-EGARCH-GED模型,度量了中国黄金现货市场的风险,且发现近年来中国黄金现货市场风险总体上呈现出越来越大的趋势。鉴于VaR-EGARCH-GED模型能够很好地度量市场风险,因此黄金现货市场的参与者可以借助该模型进行风险管理。

Abstract: How to measure the market risk is very important for the participants in gold spot market.Value at Risk(VaR) is one of the effective techniques to estimate market risk.The paper constructs a VaR-EGARCH-GED model to measure the gold spot market risk in China,and finds that the risk has been generally increasing in the recent years.VaR-EGARCH-GED model is a suitable method to measure market risk,so participants in gold spot market can use it to manage risk.