摘要
运用GARCH族模型对黄金9999近6年的1 500个收盘价数据进行拟合分析。根据数据的正态性检验、ARCH效应检验以及根据AIC准则对模型进行筛选,发现EGARCH(3,3)模型对黄金现货价格的日对数收益率拟合效果最好。通过模型分析可知我国黄金市场存在非对称性现象,坏消息传来时黄金收益率受到的冲击更大。
In this paper,GARCH family model is used to fit and analyze 1500 closing price data of gold9999 in recent 6 years.According to the normal test of data,the ARCH effect test and the screening of the model according to AIC criterion,it is found that the EGARCH（3,3） model has the best fitting effect on the daily logarithmic return rate of gold spot price. Through the model analysis,it can be seen that there exists asymmetry phenomenon in China＇s gold market. When the bad news comes in,the gold yield is hit harder.
作者
闫玲
巫朝霞
YAN Ling;WU Zhaoxia(College of Applied Mathematics,Xinjiang University of Finance and Economics,Urmnqi 830012,China)
出处
《东莞理工学院学报》
2018年第3期16-24,共9页
Journal of Dongguan University of Technology
