摘要
文中应用GARCH-M模型来研究中国黄金市场风险与收益关系,并得出了以下主要结论:①黄金价格日收益率具有波动聚集的特征;②GARCH模型能够较好地拟合黄金价格的走势;③GARCH-M模型估计结果显示黄金市场的收益与风险是正相关的,预期收益包含一定的风险溢价。
There are some risks in investing in gold market, because more factors have impacts on gold price. This paper studies the relationship between return and risk in gold market using GARCH-M model. The major conclusions of the paper are listed below： （1）the daily rate of return on gold price generates volatility clusters;（2）GARCH model is adaptive in gold price prediction;（3）the results of GARCH-M show that there is a positive relationship between return and risk, and expected return contains some risk premium.
出处
《黄金》
CAS
北大核心
2008年第5期4-7,共4页
Gold
