Study on the gold price and yield based on GARCH models

摘要：

GARCH models have been broadly used to forecast volatility. It reflects a special feature of economic variables-time-varying variances. So it plays an important role in financial market. This article aims to use GARCH models to make an empirical research on the gold price of Shanghai Gold Exchange Au99. 95. Gold price fluctuations do have significant GARCH effect, lasting effect, as well as existing leverage effect. Yield condition variance sequence is stable, and the model has certain predictability. EGARCH model can better fit the trend of gold price and yield.

关键词： gold price yield GARCH

作者: Li XU Shaowen SONG Beibei WANG

作者单位: School of Management and Economics,Beijing Institute of Technology,Beijing,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 222-226

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）