基于GARCH-VaR模型的黄金和石油投资风险实证研究

Empirical Study on Investment Risk of Gold and Oil Based on GARCH-VaR Model

首先对黄金和石油序列进行了简单的描述性统计,然后运用GARCH模型和参数VaR法对黄金和石油收益率的风险价值进行实证分析,并对结果进行检验。结果表明:石油比黄金的投资风险要大,而且在一定时间区间内,石油的风险价值波动幅度也较大,但石油的平均收益率高于黄金。可见,高收益伴随着高风险。同时,对出现的问题提出相关建议,为机构投资者在进行投资决策时提供参考信息。

We made simple descriptive statistics on gold and oil price firstly and did empirical analy- sis on the value of risk returns of gold and oil with GARCH model and parameter VaR method, then tested the results. It shows that the investment risk of oil is bigger than gold, and oil risk volatility is also larger in a certain time interval, but the average yield of oil is higher than gold. It is clear that high income always accompanies with high risk. At the same time we put forward some relevant sug- gestions on the problems, so as to provide reference information for investors in making investment de- cisions.