Analysis For The Time Series Of The Gold Price Of Shanghai Gold Exchange

This thesis first analyzes whether four potential factors really have the impact on the fluctuation of the Gold Price in Shanghai Gold Exchange in long term using the cointegration test. Then a forecast model is built, which is proven to be reliable by the additional sample data test.The paper develops in three steps as follows:1) As the basis of the cointegration test, it must do the unit root test for the series of the Gold Price in Shanghai Gold Exchange (logarithm), the Federal Fund Rate, the10-Year Bond Rate, the Dollar Index (logarithm), and the Exchange Rate of USD&CNY (logarithm). All the used data range from Jan2nd,2003to Dec.31st,2013(Trading Day Only).2) An equilibrium equation is built between the Gold Price and other four potential factors. Then the unit root test of the residual is used to show that they are cointegrated.3) Select the variables which really have the impact on the fluctuation of the Gold Price and build the forecast model. And the additional sample data is used to check the availability of the forecast model.