基于EGARCH模型对中国黄金市场的实证研究

An empirical study of China's gold market based on the exponential general autoregressive conditional heteroskedastic(EGARCH) model

应用向量自回归EGARCH模型,对中国黄金市场与外汇市场间的收益与波动溢出效应进行经验分析。研究显示:美元兑人民币汇率和中国黄金不存在收益溢出效应,欧元兑人民币汇率对黄金存在负向溢出效应;危机期间市场之间新息冲击的"杠杆效应"减弱,对黄金走势持乐观态度,但波动性比较大。

An empirical analysis of the effect of the return and volatility spillover of China＇s gold market and foreign exchange market was conducted based on exponential general autoregressive conditional heteroskedastic （EGARCH） model. The results indicate that no revenue spillover effect ocurt,s in U.S. dollar against RMB exchange rate and China＇s gold while negative spillover effects exist in the euro against RMB exchange rate and China＇s gold; that the impact of ＂leverage effect＂ on market interest rates in crises weakens with a relatively optimistic trend for gold and a relatively large volatility.