Volatility Analysis And Risk Measurement Of Gold Market In China

In recent years, China’s inflation has remained at a high level, coupled with China keep dollar as the main foreign exchange and the dollar is depreciated recently, gold became a hot spot issue,because it is one of the most important assets as the tool of maintaining and appreciating values. Gold investment products are incomparable advantages. First of all, the gold has high liquidity and realizable as the world recognized currency. Secondly, gold could maintain the values, it is more obviously while the environment more volatile. Moreover, the gold can be divided. Finally, the investment rate is very low, so the taxes could be reduced. Conclusively, gold not only need to research, but also is worth studying.Selecting the trading price of Shanghai Gold Exchange from2nd November2009to28th February2013, this paper research the volatility of China’s gold price and analyze the reason of the price fluctuation, using the qualitative analysis and quantitative analysis. This paper examines that China’s gold price yield exists ARCH effect,and can be tested with GARCH model.Then it gives a risk assessment combined with VaR-EGARCH model.