我國黃金價(jià)格的時序建模與相關(guān)性分析
[Abstract]:Gold is both a precious metal and a hard currency. It guarantees that investors' assets will not be eroded by inflation, and that investing in gold is not as vulnerable to market collapse as it is in stocks and real estate, so gold investment is popular. Study the trend of gold price also has practical meaning more. Based on the analysis of the distribution characteristics of gold price yield, this paper first uses the asymmetric GARCH model, TGARCH model, to fit the daily return rate of gold price between January 1, 2007 and April 30, 2013. Furthermore, the model is used to predict the value of gold price in the next 10 periods. The empirical study shows that the model has strong practical value in short-term forecasting. Then, using the theory of Copula function, this paper discusses the influence of Shanghai Stock Exchange Index, RMB / US dollar exchange rate, and the amount of currency issue on the gold price, and gives the consistency measure and tail correlation between them. Finally, using the monthly data from January 2003 to May 2013, the paper uses the multivariable time series model, VAR model, to fit the relationship between gold price and its influencing factors. Based on the model, the paper analyzes how the gold price is affected by various factors and the possible trend in the future. This paper shows that gold prices in the short or long term are difficult to reach the highest level in 2011 after years of soaring. There are many reasons for the fall in gold prices. For example, the global economic rebound has weakened the demand for gold safe havens, the US economy has recovered, and the end of US loose monetary policy has led to a stronger dollar, which has triggered a fall in the dollar-denominated gold price. In addition, gold ETF sharply reduced positions, but also triggered investors to follow the trend to sell, triggered a panic fall in gold. The renminbi continued to strengthen against the dollar, affecting the domestic gold price lower. In summary, it is estimated that the trend for a long period of time in the future is not optimistic.
【學(xué)位授予單位】:華中科技大學(xué)
【學(xué)位級別】:碩士
【學(xué)位授予年份】:2013
【分類號】:F832.54;F224;O211.61
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