摘要
本文利用1975年1月2日至2012年7月27日国际黄金市场日收益率时间序列,研究黄金投资的风险特征,以及利用GARCH-EVT模型刻画黄金投资风险的适用性。研究发现,黄金投资日收益率时间序列呈高峰厚尾分布,具有显著的波动集群性。返回检验证明,利用GARCH-EVT模型计量出的黄金投资动态VaR通过Kupiec检验,能够较好地覆盖黄金投资的实际损失,预测黄金投资风险的能力较高。
This paper studies gold investment risk characteristics and GARCH-EVT model＇s capability of measuring gold investment risk, using data of international gold daily return time series from January 2, 1975 to July 27, 2012. The study shows that gold daily return time series display high peak and thick tail distribution, and obvious volatility clustering. Back testing demonstrates that GARCH-EVT model can go through Kupiec test, and has high capacity to cover the real losses of gold investment and predict gold investment risk.
出处
《南方金融》
北大核心
2012年第10期55-58,共4页
South China Finance
