白银市场与黄金市场收益率波动溢出效应研究

Empirical Analysis of Return Volatility Spillover Effect between Silver Market and Gold Market

白银和黄金投资日渐成为投资者的重要选择,也是金融领域研究的重点。在总结其国内外相关研究的基础上,基于2006年10月31日到2010年12月31日的日数据,建立相应的ARCH族模型对白银和黄金两种贵金属收益率的波动性、波动的非对称性及其波动溢出效应进行实证分析。结果表明:两种贵金属均具有显著的方差时变性及新息对波动冲击的持久性,且白银的整体的波动性大于黄金;GARCH(1,1)模型能够很好地消除其ARCH效应;两种贵金属均存在明显的非对称性,且都是利好消息引起的波动大于同等利空消息引起的波动;两种贵金属存在相互影响的双向波动溢出效应,但黄金对白银影响大于白银对黄金的影响。研究结果对投资者采取合理的投资策略有一定的指导作用。

Investment of Silver and gold has not only become an important choice for investors, but also is the key research in financial field. After summing up the domestic and foreign relevant studies, bases on Oct. 31,2006 to Dec. 24,2010, daily data and sets up a corresponding ARCH family model to analyze the volatility, volatility asymmetry and its fluctuation spillover effect of yields of two precious metals which are silver and gold. The results showed that there are significant vari- ance dynamicity between these two kinds of precious metals and news has durability to fluctuation, and the fluctuation of silver is greater than that of gold ; GARCH （ 1,1 ） model can eliminate the ARCH effect well, and in both kinds of precious metals there are obviously asymmetric, which is that fluctuations caused by good news is deeper than that of had news. There are mutual influences between this two kinds of precious metals ,but the effect of gold for silver is greater than that of silver for gold . The results of the study may have some effective suggestion for investors to take reasonable investment strategy.