基于VaR-GARCH模型的黄金市场风险管理研究

【作者】 严志勇；

【导师】 谢识予；

【作者基本信息】 复旦大学 ， 数量经济学， 2011， 硕士

【摘要】 黄金是具有商品和金融双重属性的稀缺的特殊商品,具有不可替代的保值、避险等功能,是各国外汇储备的重要组成部分。在目前的全球货币体系下,黄金仍旧是一种硬通货,金融属性对黄金价格来说影响甚大。通过分析黄金的历史价格走势,我们可以看到自布雷顿森林体系瓦解以来,黄金价格从35美元／盎司涨到目前的超过1400美元/盎司,上涨了近40倍,但这期间金价并不是一帆风顺的,而是充满了或大或小的波动,即使在2008年金融危机肆虐的情况下,作为投资避险品的黄金价格依然出现了较大的起起伏续,涨跌与市场的预期也会出现较大幅度的偏差。因此,在黄金投资越来越热的今天,对黄金投资的风险管理显得尤为重要。本文旨在定量的分析COMEX黄金现货市场风险的基本情况。首先,通过介绍黄金价格的走势说明研究黄金市场风险管理的必要性,并对国内外学者针对黄金市场的研究文献做了综述；然后,对全球黄金市场的发展历史、主要的黄金市场概况、未来黄金市场发展趋势以及影响金价变动的主要因素做了深入研究；接下来对风险管理理论以及VaR和GARCH模型的相关理论进行了研究；随后,本文采用VaR-GARCH模型对COMEX黄金现货市场1975年1月2日至2010年10月21日共9144个交易日的收益率进行了实证检验,发现基于GED分布的Var-GARCH(1,2)模型能够对VaR值进行较为有效的预测,VaR-GARCH是一种能够较好的估计黄金市场的风险的方法。此外,还对VaR-GARCH模型中的条件方差进行了分析,发现高方差密集区域和实际市场的高风险区域是相对应的,高方差密集区域往往意味着市场上出现了新的不确定因素,譬如石油危机、伊拉克战争、海湾战争、亚洲金融危机及全球性的经济危机等,这些均使市场风险加大,这与实际情况是相符的,说明条件方差的预测有助于预测市场风险变化。最后是本文的结论以及给参予黄金投资的投资者的一些建议。更多还原

【Abstract】 Gold is one of special and scarce commodites equipped with both commodity and financial attribute.As an important hedging tools, gold palys critical role in financial investment activity and is an important part of national foreign exchange reserves.Gold is still a hard currency under the current global monetary system.By analyzing the history of gold price movements,we can see that the gold price rose from $35/oz to more than $1400/oz since the Bretton Woods system collapsed,it is nearly 40 times higher,however, the process is not easy, but full of large or small volatility. Although as an investment hedge, gold prices still experienced great ups and downs and a substantial deviation from our expectations in the case of financial crisis of 2008. Therefore, the risk management of gold investment is particularly important with the increasing investment in gold today.This article aims to quantify the risk of COMEX gold market fundamentals. First, it state the necessity for gold market risk management by introducing a note of the trend of gold price and then make a literature review on gold market or price.Then, it make a deep research on the historical development of the global gold market,global gold market developing trends and factors affecting the the gold price; The next, VaR risk management theory,VaR and GARCH models were studied; Then, we made the empirical test one 9144 JCP day yield of COMEX gold spot marke from January 2 1975,to October 21,2010 using VaR-GARCH model and found that GED-based distribution of VaR-GARCH (1,2) model can be more effective on the VaR value forecast, VaR-GARCH is a better way to estimate the gold market risk. In addition, VaR-GARCH conditional variance model was also analyzed and we found that the high variance of intensive regional and high-risk areas the real market is the corresponding.High-density areas often means the emergence of new market uncertainty, such as oil crisis, the Iraq war, the Gulf War, the Asian financial crisis and the global economic crisis, which raised the market risk and it is consistent with the actual situation..Therefore, it shows that the conditional variance forecasts can help predict changes in market risk. Finally, the recommendations were given on how to invest in gold for the investors.更多还原