Characteristic Analysis And Modeling Of Gold Volatility

Gold is a kind of precious metals with attributes of commodity and currency,and it is an important way for investors to maintain the value of assets.At the same time,as one of the most important international reserve assets,gold has a role and irreplaceable function in reducing the deficit and keeping exchange rate stable.With the rapid development of economy,the number of participating in financial market research showed a rising trend,but still there are two major problems in the study of international and domestic gold market.On the one hand,for gold investors and researchers,insighting into the gold price movements and volatility accurately,and better grasping the trend of changes in financial markets are essential.Specifically,seeking for appropriate residual distribution,furthermore establishing an effective gold volatility model,can play an important role in the mining of gold market rate characteristics,analysis of gold volatility potential risks and make investment strategies.On the other hand,the gold market is still a new investment market,and its volatility has always been an important aspect of financial research in our country.Among them,the asymmetry of asset volatility is most studied,and the asymmetry of the financial market is the phenomenon that the market is not balanced to the bad information and the positive information.However,the conclusion of he research on the asymmetric nature of China’s gold market is not the same.To solve the above two problems,this paper introduces the related theory of conditional heteroskedasticity model,selects the London spot gold data,according to the modeling steps of conditional heteroskedasticity model,build three GARCH model with residuals obeying standard normal distribution,Standard Student t distribution and generalized error distribution respectively,and select a series of loss function to test the validity of the model,so as to obtain a good fitting residual distribution.In addition,in order to give a research on the asymmetric Chinese gold spot market volatility,the paper establishes four models of GARCH,EGARCH,TGARCH and APARCH,and selects loss function to test the model as the same,and draw the conclusion about the asymmetry characteristics of spot gold fluctuation in China and its manifestations.