Research On Long Memory Property Of Gold Futures Based On Bayesian LMSV Model

With the rapid development of economy, the financial p roduct types become richer and richer, and financial derivatives in gold market also have a rapid development. On January 9, 2008, China's gold futures was launched by Shanghai Futures Exchange officially. Gold futures will play a price discovery function when appear on the market, and promote the improvement of gold pricing mechanism and the formation of the domestic gold market's pricing benchmark. So it can digest the risk of international gold fluctuations to some extent. Given that previous research on the financial markets was limited mostly to long memory ARFIMA model, LMSV model can describe the characteristics of financial data more exactly. Therefore, this study constructed a model of long memory LMSV to research China, US, Japan and other countries' gold futures market. It not only provides a more practical and effective theoretical approaches as a measure of financial market theory long memory, but also offer a theoretical support for decision maker, which has a great value in academic and practical area.This article studied from the relevant theoretical foundation to research methods and then the whole idea of empirical research. First,we reviewed stochastic volatility models, financial time series long memory models and theoretical research rela ted to gold futures. Secondly, we constructed the model that contains LMSV Fractional difference operators and the model Bayesian analysis,and designed the MCMC sampling algorithm. Finally, we used LMSV model in the study of volatility and the long memory of China,the United States and Japan gold futures market.The results show that, in terms of volatility, closing price volatility of China largest gold futures market, closing price volatility of US gold futures market, and the minimum daily closing price volatility of Japanese gold futures market is in the middle. Meanwhile, the US gold futures market volatility itself is strongest, Japanese gold futures market volatility itself is weakest, and China gold futures market volatility itself somewhere is in the middle. In the long memory,there is a strong long memory in the China gold futures market, the US gold futures market and Japan gold futures markets in Japan. Specially,Japanese gold futures market has strongest long memory, which indicates that the impact of past information on future performance are great in China,US and Japan futures gold market.