Risk Measurement And Conduction And Empirical Research In China's Gold Futures Market

Since the opening of China Gold Futures Market in 2008,with the access of commercial banks,open night trading,laws and regulations and the improvement of the system,China's gold futures market has more and more participants,liquidity has increased significantly.With the rapid development of China's gold futures,its influence on the international gold market is increasing,and its relationship with the international gold market is becoming more and more close.But at the same time,China's gold futures market by international extreme events and political factors are deepening.Such as the United States subprime mortgage crisis,the European sovereign debt crisis and the global outbreak of the new coronavirus.Therefore,the risk of China's gold futures must be regulated.While measuring the market risk,we also need to understand the risk transmission relationship between other gold markets and China's gold market,in order to achieve the gold futures market risk effective monitoring and response.Based on the research of domestic and foreign scholars on gold futures market,this paper finds that most of them use parametric model to measure the risk of gold futures market,and less use other new risk measurement techniques.Therefore,the semi-parametric CAVia R model and the ES-CAVia R model are introduced to measure the daily settlement rate of return of Shanghai Gold Futures,in addition,the GARCH model based on normal distribution and t distribution,the history simulation method and the moving average method with fixed window width are used to train the model.At the same time,we use a variety of Va R and ES prediction test methods,and use out of sample data for back test test.The test results show that,compared with other models,ES caviar model has the highest prediction accuracy of Va R and ES,and has greater advantages in measuring the risk of Shanghai gold futures market.Es Method is better than Var method in measuring the risk of gold futures market.This paper also studies the risk transmission effect between Shanghai Gold Futures Market and New York gold futures market.ES-CAVia R model is used to calculate the extreme value Var and ES series of the daily settlement price returns of Shanghai Gold futures and New York gold futures,respectively,and to test the risk-Granger-Causality relationship of the Var and ES series of the bilateral markets,at the level of 5% significance,Shanghai gold futures and New York gold futures are both Granger causes of each other,but the strength of risk transmission from New York to Shanghai is much stronger than that from Shanghai to New York,the Shanghai Gold futures market is more of a risk taker.Shanghai gold futures market in the international gold market influence is very limited.In view of the risk supervision of the gold futures market,this paper suggests that we must speed up the improvement of the theoretical system of financial econometric analysis,apply updated risk measurement tools and models,improve the legal system of the market and optimize the structure of market participants,to increase the ability of resisting risks;to enlarge the gold reserve to strengthen the ability of resisting risks and shocks of the international gold market.