基于GARCH-EVT模型的黄金投资风险度量研究

Study on Gold Investment Risk Measurement Based on the GARCH-EVT Model

本文利用1975年1月2日至2012年7月27日国际黄金日收益率时间序列,研究黄金投资风险特征及GARCH-EVT模型刻画黄金投资风险的适用性。研究发现,黄金日收益率时间序列呈现高峰厚尾分布,具有显著的波动集群性。返回检验证明,利用GARCH-EVT模型计量出的黄金投资动态VAR通过Kupiec检验,能够较好的覆盖黄金投资实际损失,预测黄金投资风险的能力较高。

This article aims to study gold investment risk characteristics and GARCH-EVT model＇ s capability of measuring gold investment risk, using international gold daily return time series from January 2, 1975 to July 27, 2012. Study finds, gold daily return time series display high peak and thick tail distribution, and obvious volatility clustering. Back testing demonstrates that GARCH-EVT model can go through Kupiec test, and has high capacity to predict gold investment risk.