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本文运用GARCH族模型对我国黄金期货市场波动进行拟合情况,以上海期货交易所AU1406黄金期货合约的日收益率为数据来源,并运用损失函数对GARCH,TGARCH,EGARCH三个模型的波动率预测精度进行比较。实证结果表明,对称的GARCH模型是描述市场波动性给出了很好的描述,能够对投资者,特别是我国黄金生产企业在市场风险度量与预测以及投资决策时有所帮助。
This paper uses the GARCH model to simulate the volatility of the gold futures market in our country. Taking the daily return of the AU1406 gold futures contract on the Shanghai Futures Exchange as the data source, we use the loss function to forecast the volatility of the GARCH, TGARCH and EGARCH models Accuracy for comparison. The empirical results show that the symmetric GARCH model is a very good description of describing the market volatility, which can help investors, especially the gold producers in our country, in the market risk measurement and forecast and investment decision-making.