摘要
近几年的黄金市场与美元指数市场波动都比较大,但波动的方向不一致。通过对两者的波动进行研究,主要有单位根检验、ARCH效应的检验、GARCH模型分析以及因果关系检验,结果表明,黄金指数GARCH(1,1)最适合描述其市场波动,美元指数GARCH(2,1)最适合描述其市场波动,美元指数的预测对黄金指数的预测会有帮助。
Recently, the fluctuations in the gold market and the dollar market are big, but the directions of fluctuations are different. Using the empirical method, such as unit root test, ARCH effect of the inspection and GARCH model analysis and granger causality test, the result show that the GARCH （1,1） is the most suitable for the prediction of gold market fluctuation, while the GARCH（2,1） is the most suitable for the prediction of dollar market fluctuation.
出处
《财经理论与实践》
CSSCI
北大核心
2013年第5期47-50,共4页
The Theory and Practice of Finance and Economics
基金
教育部人文社会科学研究资助项目(10YJAZH103)
