Analysis Of Volatility In International Spot Precious Metal Market Based On SV Model

Since the outbreak of the Financial Crisis, the recession of economy is evident inmany countries. Both the real and virtual economy suffered great impact. In the faceof inflation pressure and venture from financial market, the risk-hedging demand ofcapital is raising ceaselessly. With the sound capacity of maintenance and appreciation,precious metal investment market has become the "safe harbor" of capitals fromvarious areas. In this context, the empirical study on the volatility of international spotprecious metal market gains important practical significance.The present study adopted time-series data of daily return rate in internationalgold and silver spot goods markets during2008to2010as research object, used fiveSV models to fit volatility of the two markets and the model fitting results werecompared and analyzed; in addition, this paper conducted empirical research on theimbalance reaction of international spot goods market.The results of the paper shows that obvious fat-tails and volatility clusteringexists in the time series of gold and silver markets as spot goods, there is a strongfluctuation persistence and the reactions of two markets is unbalanced. But from theangle of whole interval, the leverage effect in the two markets is not significant; incontrast, the results of leverage-SV model to the fitting volatility between twomarkets is best.Finally, based on the result of empirical research, this article put forward somesuggestions to invest the spot precious metal market and raised the shortcomings ofthe present study.