Analysis And Prediction Of Gold Price Based On GARCH Model

In2007, American subprime mortgage crisis broke out and the global economywas involved in a financial crisis which hardly occurred in a century. To cope with thecrisis, the economies around the world represented by the US had put forward liquidityslack policies, but which made the risks such as the global excess liquidity, creditcurrency devaluation and so on. Gold, as the final payment and hedge, which hasexperienced10years of the bull market before2013and finally fell to a low point, theeconomy to the world is closely related to the price of gold, the price trend is worthy ofattention and research.The research on the price of gold has been several decades of history in thedomestic and overseas, this paper firstly introduces the research status which analysison the price of gold of domestic and foreign research scholar, then introduces andanalyzes the current situation of the international gold market and the international priceof gold which the key point is the history of gold price changes and price analysis of thefactors affecting, included the global economy, American economic conditions, theloose monetary policy, inflation, political factors and so on.On the basis of qualitative analysis, we use the related knowledge of time seriesand R statistical software for quantitative interpretation. Through introducing classicaltime series ARMA model and GARCH model, we apply them into the empirical studyof the analysis of the international price of gold.In the empirical analysis, we use2323gold prices sample data over the past8years from January26th1995to December31th2013. Through the normal test andstability test, we make a reasonable forecast price of gold in2014, according to theresults given by the GARCH model and R.