时变风险厌恶与黄金期货市场波动率--基于GARCH-MIDAS模型的实证研究  

Time-varying Risk Aversion and Gold Futures Market Volatility--Empirical Study Based on GARCH-MIDAS Model

作　　者：吴鑫育[1] 张静[1] WU Xinyu;ZHANG Jing(School of Finance,Anhui University of Finance and Economics,Bengbu 233000,China)

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233000

出　　处：《沈阳大学学报（社会科学版）》2022年第6期605-613,共9页Journal of Shenyang University:Social Science

基　　金：国家自然科学基金资助项目(71971001)。

摘　　要：黄金作为特殊的贵金属,一直被投资者视为拥有“避风港”特征的有效避险工具。将时变风险厌恶指数(R_(A))引入GARCH-MIDAS模型中,研究R_(A)对黄金期货波动率的影响及预测作用。采用损失函数和模型置信集(MCS)评价不同模型的样本外预测精度。实证结果表明:R_(A)对黄金期货市场波动有显著的正向影响;相比于其他模型,引入R_(A)的GARCH-MIDAS-RA模型拥有更好的参数估计结果和预测结果。As a special precious metal,gold has always been regarded by investors as an effective risk hedging tool with the characteristics of“safe haven”.By introducing the time-varying risk aversion index(R_(A))into the GARCH-MIDAS model,this paper studies the impact of R_(A) on gold futures volatility and its predictive role,and loss functions and model confidence sets(MCS)are used to evaluate the out-of-sample prediction accuracy of different models.The empirical results show that R_(A) has a significant positive impact on the volatility of gold futures market.Compared with other models,the GARCH-MIDAS-RA model has better parameter estimation and prediction results.

关 键 词：黄金期货 时变风险厌恶 GARCH-MIDAS模型 波动率 MCS检验 

分 类 号：F832.51[经济管理—金融学]