中国黄金现货市场风险度量研究  

Research on risk measurement of gold spot market in China

作　　者：郑秀田[1,2] 

机构地区：[1]杭州师范大学钱江学院 [2]浙江工商大学工商管理学院

出　　处：《黄金》2011年第2期7-10,共4页Gold

基　　金：浙江省自然科学基金(Y6090172)

摘　　要：对于黄金现货市场的参与者来说,较好地度量市场风险至关重要。VaR是度量市场风险的有效方法之一。通过建立VaR-EGARCH-GED模型,度量了中国黄金现货市场的风险,且发现近年来中国黄金现货市场风险总体上呈现出越来越大的趋势。鉴于VaR-EGARCH-GED模型能够很好地度量市场风险,因此黄金现货市场的参与者可以借助该模型进行风险管理。How to measure the market risk is very important for the participants in gold spot market.Value at Risk（VaR） is one of the effective techniques to estimate market risk.The paper constructs a VaR-EGARCH-GED model to measure the gold spot market risk in China,and finds that the risk has been generally increasing in the recent years.VaR-EGARCH-GED model is a suitable method to measure market risk,so participants in gold spot market can use it to manage risk.

关 键 词：黄金现货市场 风险度量 VaR-EGARCH-GED模型 

分 类 号：F830.94[经济管理—金融学]