Font Size: a A A

Extreme Risk Measurement And Empirical Analysis On Gold Futures Market

Posted on:2016-12-04Degree:MasterType:Thesis
Country:ChinaCandidate:Y H ChenFull Text:PDF
GTID:2309330479988578Subject:International Trade
Abstract/Summary:PDF Full Text Request
With the rapid development of international gold market and China’s gold futures market, important financial policies and major events have caused significant fluctuations on the gold price. China’s gold market has gained the importance on the word gold market price after the rapid development of Shanghai gold futures market, but it also deepened the impact of major risk events. Therefore, measuring the extreme risk of gold futures market and understanding the risks contagion between domestic and international gold market has great significance to the surveillance and risk management of gold market for gold investors and the gold market risk management department.The descriptive statistical analysis on Shanghai and COMEX gold futures market daily yield exhibit some distribution characteristics, such as fat tail, volatility clustering and long memory. This thesis combines FIGARCH model with EVT-POT model to measure extreme risk by calculating dynamic Va R and CVa R, and analyzing the prediction power with backward testing.Based on that, we use Granger-Casuality test to study more on the transmission mechanism between Shanghai and COMEX gold futures marker.Conducting empirical analysis by using the models above, the results show that:(1)FIGARCH-EVT-POT model is more suitable for predicting the actual risk of loss than GARCH-EVT-POT model both in dynamic Va R and CVa R dynamic;(2)The extreme risk of Shanghai and COMEX gold futures influences each other;(3)It is immature for the short of the Shanghai gold future;(4) The existence of daily limit affects the measurement of extreme risk under high confidence level;(5) The influence of the Shanghai gold futures in the world gold market has yet to be promoted.
Keywords/Search Tags:gold futures, FIGARCH, EVT, dynamic VaR, CVaR, Granger
PDF Full Text Request
Related items