The Empirical Study Of The Volatility Of China’s Gold Futures And The Relationship Of Relevant Markets

In modern society, the gold is not only the personal symbol of social fortune, it isan important component of th’e countrys reserves. Solid gold reserves have becomeone of the country’s financial market stability and development of strong backing. Forthe sake of develop the financial market and activate transactions of gold in china. InJanuary9，2008，Chinese gold future landed Shanghai futures exchange. Gold futuresopened a prelude to the development of ifnancial market of China. Gold ifituresmarket will promote the overall development of China’s gold industry and strive forthe international gold price right. Since2008, the world economic situation fluctuateconsiderably, the United States sub-loan cirsis led to the global economic downturn,the European sovereign debt, also erupts in succession, international economysuffered heavy losses, the international political situation also cranky, local worldtensions had spread, cause the international gold futures market prices shock wave, inthis context, study Chinese gold futures market price discovery and volatilitycharacteristics. Realizing it will help reasonable understanding of gold futures marketrisk, and make targeted decision. It is helpful for China’s gold futures marketstability and healthy development.However, the Chinese gold futures market relevant academic research is quitesmall, especially in the Chinese gold futures market research and quantitative analysisis very rare, In fact, atfer more than ifve years of development history, gold futuresmarket has been reflected in the inherent characteirstics, this study from theperspective of gold futures market related characteirstics were analyzed and theresearch, the econometric classic models are used for the quantitative analysis of goldfutures market volatility. The results of the paper have a certain reference value togold futures market’s development and regulation. The model and method to the othercommodity futures research also have certain reference significance.This paper firstly analyzes the gold and gold futures market. Through asystematic review and summarize characteristics of gold futures market volatility andrisk at home and abroad related research work, make readers know more about thegeneral situation of the study of gold futures market. GARCH model is used for the relationship between quantity and price of Chinese gold futures market for empiricalresearch. At the same time, using ARIMA model to market volume and open interestinto expected and unexpected part, by compairng the explanation ability of theresearch for volatility. Finally，using the co-integration theory and error correctionmodel，granger causality test, impulse response function methods for Chi’nas goldfutures and spot gold in Shanghai, New York gold futures, international spot gold andso on has carried on the empirical research on the relationship between them. Throughcorrelation analysis between the market and deeper reveals the cause of China’s goldfutures market volatility. Finally, the systemic summarized the full text, sums up thechapters to study the main results and conclusions, and the analysis in this paper, theresearch and the future research direction.