基于非线性Granger因果检验的黄金量化分析

Gold Quantitative Analysis Based on Nonlinear Granger Causality Test

通过非线性Granger因果检验对黄金价格进行量化分析,表明黄金价格与商业净头寸、非商业净头寸、原油价格和美元指数呈显著的非线性关系.进一步分析发现,黄金价格与4个影响因素呈非线性Granger因果关系.我们使用向量自回归模型建立商业净头寸、非商业净头寸、原油价格和美元指数对黄金价格的预测模型,并采用JJ协整检验对模型进行修正,得到修正的向量自回归模型.该研究结果为量化分析提供了参考.

The quantitative analysis of gold price through non-linear Granger causality test manifests that a significant non-linear relationship exists among gold price and its commercial net position,non-commercial net position,crude oil price and US dollar index.After further analyzing,a non-linear Granger causality relationship among the gold price and its four influencing factors is also found.Meanwhile,we use a vector autoregressive model to establish a prediction model about commercial net position,non-commercial net position,crude oil price and the USD index.Then a modified vector autoregressive model is obtained after the JJ cointegration test being used,which provides a reference for the quantitative analysis.