基于GARCH族模型的黄金价格收益率及波动性研究

Research on the Returns and Volatility of Gold Spot Price Based on GARCH Family Models

文章应用GARCH族模型对黄金现货价格的收益率及波动性进行实证研究,实证结果表明黄金价格日收益率具有"尖峰厚尾"和"波动聚类"的特征。通过TGARCH及EGARCH模型发现我国黄金市场存在非对称性现象,正的冲击对黄金价格波动影响更大。

This paper applied GARCH family models to study the returns and volatility of gold spot price. Empirical results show that the daily return of gold prices has the characteristics of ＂fat-tail peak＂ and ＂clustering of volatility＂. By using TGARCH model and EGARCH model, it shows that there is asymmetry in gold market and positive impacts bring a greater impact on gold price volatility.