基于VaR-GARCH模型的黄金市场风险管理研究
摘要
黄金是具有商品和金融双重属性的稀缺的特殊商品,具有不可替代的保值、避险等功能,是各国外汇储备的重要组成部分。在目前的全球货币体系下,黄金仍旧是一种硬通货,金融属性对黄金价格来说影响甚大。
通过分析黄金的历史价格走势,我们可以看到自布雷顿森林体系瓦解以来,黄金价格从35美元／盎司涨到目前的超过1400美元/盎司,上涨了近40倍,但这期间金价并不是一帆风顺的,而是充满了或大或小的波动,即使在2008年金融危机肆虐的情况下,作为投资避险品的黄金价格依然出现了较大的起起伏续,涨跌与市场的预期也会出现较大幅度的偏差。因此,在黄金投资越来越热的今天,对黄金投资的风险管理显得尤为重要。
本文旨在定量的分析COMEX黄金现货市场风险的基本情况。首先,通过介绍黄金价格的走势说明研究黄金市场风险管理的必要性,并对国内外学者针对黄金市场的研究文献做了综述；然后,对全球黄金市场的发展历史、主要的黄金市场概况、未来黄金市场发展趋势以及影响金价变动的主要因素做了深入研究；接下来对风险管理理论以及VaR和GARCH模型的相关理论进行了研究；随后,本文采用VaR-GARCH模型对COMEX黄金现货市场1975年1月2日至2010年10月21日共9144个交易日的收益率进行了实证检验,发现基于GED分布的Var-GARCH(1,2)模型能够对VaR值进行较为有效的预测,VaR-GARCH是一种能够较好的估计黄金市场的风险的方法。此外,还对VaR-GARCH模型中的条件方差进行了分析,发现高方差密集区域和实际市场的高风险区域是相对应的,高方差密集区域往往意味着市场上出现了新的不确定因素,譬如石油危机、伊拉克战争、海湾战争、亚洲金融危机及全球性的经济危机等,这些均使市场风险加大,这与实际情况是相符的,说明条件方差的预测有助于预测市场风险变化。最后是本文的结论以及给参予黄金投资的投资者的一些建议。
Gold is one of special and scarce commodites equipped with both commodity and financial attribute.As an important hedging tools, gold palys critical role in financial investment activity and is an important part of national foreign exchange reserves.Gold is still a hard currency under the current global monetary system.
By analyzing the history of gold price movements,we can see that the gold price rose from $35/oz to more than $1400/oz since the Bretton Woods system collapsed,it is nearly 40 times higher,however, the process is not easy, but full of large or small volatility. Although as an investment hedge, gold prices still experienced great ups and downs and a substantial deviation from our expectations in the case of financial crisis of 2008. Therefore, the risk management of gold investment is particularly important with the increasing investment in gold today.
This article aims to quantify the risk of COMEX gold market fundamentals. First, it state the necessity for gold market risk management by introducing a note of the trend of gold price and then make a literature review on gold market or price.Then, it make a deep research on the historical development of the global gold market,global gold market developing trends and factors affecting the the gold price; The next, VaR risk management theory,VaR and GARCH models were studied; Then, we made the empirical test one 9144 JCP day yield of COMEX gold spot marke from January 2 1975,to October 21,2010 using VaR-GARCH model and found that GED-based distribution of VaR-GARCH (1,2) model can be more effective on the VaR value forecast, VaR-GARCH is a better way to estimate the gold market risk. In addition, VaR-GARCH conditional variance model was also analyzed and we found that the high variance of intensive regional and high-risk areas the real market is the corresponding.High-density areas often means the emergence of new market uncertainty, such as oil crisis, the Iraq war, the Gulf War, the Asian financial crisis and the global economic crisis, which raised the market risk and it is consistent with the actual situation..Therefore, it shows that the conditional variance forecasts can help predict changes in market risk. Finally, the recommendations were given on how to invest in gold for the investors.
通过分析黄金的历史价格走势,我们可以看到自布雷顿森林体系瓦解以来,黄金价格从35美元／盎司涨到目前的超过1400美元/盎司,上涨了近40倍,但这期间金价并不是一帆风顺的,而是充满了或大或小的波动,即使在2008年金融危机肆虐的情况下,作为投资避险品的黄金价格依然出现了较大的起起伏续,涨跌与市场的预期也会出现较大幅度的偏差。因此,在黄金投资越来越热的今天,对黄金投资的风险管理显得尤为重要。
本文旨在定量的分析COMEX黄金现货市场风险的基本情况。首先,通过介绍黄金价格的走势说明研究黄金市场风险管理的必要性,并对国内外学者针对黄金市场的研究文献做了综述；然后,对全球黄金市场的发展历史、主要的黄金市场概况、未来黄金市场发展趋势以及影响金价变动的主要因素做了深入研究；接下来对风险管理理论以及VaR和GARCH模型的相关理论进行了研究；随后,本文采用VaR-GARCH模型对COMEX黄金现货市场1975年1月2日至2010年10月21日共9144个交易日的收益率进行了实证检验,发现基于GED分布的Var-GARCH(1,2)模型能够对VaR值进行较为有效的预测,VaR-GARCH是一种能够较好的估计黄金市场的风险的方法。此外,还对VaR-GARCH模型中的条件方差进行了分析,发现高方差密集区域和实际市场的高风险区域是相对应的,高方差密集区域往往意味着市场上出现了新的不确定因素,譬如石油危机、伊拉克战争、海湾战争、亚洲金融危机及全球性的经济危机等,这些均使市场风险加大,这与实际情况是相符的,说明条件方差的预测有助于预测市场风险变化。最后是本文的结论以及给参予黄金投资的投资者的一些建议。
Gold is one of special and scarce commodites equipped with both commodity and financial attribute.As an important hedging tools, gold palys critical role in financial investment activity and is an important part of national foreign exchange reserves.Gold is still a hard currency under the current global monetary system.
By analyzing the history of gold price movements,we can see that the gold price rose from $35/oz to more than $1400/oz since the Bretton Woods system collapsed,it is nearly 40 times higher,however, the process is not easy, but full of large or small volatility. Although as an investment hedge, gold prices still experienced great ups and downs and a substantial deviation from our expectations in the case of financial crisis of 2008. Therefore, the risk management of gold investment is particularly important with the increasing investment in gold today.
This article aims to quantify the risk of COMEX gold market fundamentals. First, it state the necessity for gold market risk management by introducing a note of the trend of gold price and then make a literature review on gold market or price.Then, it make a deep research on the historical development of the global gold market,global gold market developing trends and factors affecting the the gold price; The next, VaR risk management theory,VaR and GARCH models were studied; Then, we made the empirical test one 9144 JCP day yield of COMEX gold spot marke from January 2 1975,to October 21,2010 using VaR-GARCH model and found that GED-based distribution of VaR-GARCH (1,2) model can be more effective on the VaR value forecast, VaR-GARCH is a better way to estimate the gold market risk. In addition, VaR-GARCH conditional variance model was also analyzed and we found that the high variance of intensive regional and high-risk areas the real market is the corresponding.High-density areas often means the emergence of new market uncertainty, such as oil crisis, the Iraq war, the Gulf War, the Asian financial crisis and the global economic crisis, which raised the market risk and it is consistent with the actual situation..Therefore, it shows that the conditional variance forecasts can help predict changes in market risk. Finally, the recommendations were given on how to invest in gold for the investors.
引文
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[6]Capie.F.,Mills.T.C.,Wood.G.,Gold as a Hedge against the US Dollar.World Gold Council.2004(9)
[7]Cheung,Y.,Lai,K.S.Do gold market returns have long memory?The Financial Review,1993,28(2):181-202
[8]Christie,D.R.,Chaudhry,M.,Koch,T.Do macroeconomic news releases affect gold and silverprices[J].Journal of Economics and Business,2000(52):405-421
[9]Crane.F.G,Insurance Principles and Practices 12nd ed [M],New York:Wiley,1984
[10]Dooley,Isard,Taylor.Exchange rates,country specific shocks and gold[J].Applied financial Economics,1995 (5):121-129
[11]Edel,T.,Brian,M.,A power GARCH examination of gold market[J].International Business and Finance,2007, Vol.21,pp.317-324
[12]Edel,T.Seasonality.Risk and return in daily COMEX gold and silver data 1982-2002. Institute for International Integration Studies[C].German.2005(1):231-260
[13]Fortune,J.N.The inflation rate of the price of gold,expected prices and interest rates[J] Journal of Macroeconomics,1987(9):71-82
[14]Frank,M.,Stengos,T. Measuring the strangeness of gold and silver rates of return[J]. Review of Economic Studies,1989,56:553-567
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[18]Jonathan,A.B.,Brian,M.L.Volatility in the Gold Futures Market.Institute for International Integration Studies[C], Dublin.2007(6):101-113
[19]Kennedy,S.C.A Historical Review:American Gold Market.The World Gold Council,2002(l).
[20]Koutsoyiannis,A.A short-run pricing model of a speculative asset tested with data from the gold bullion market[J].Applied Economic,1983(15):563-582
[21]Larry,A.,Fabio,S.The price of gold and the exchange rate[J], Journal of International Money and Finance,1996(15):879-897
[22]Laurence.E.B., How surprise changes in inflationary expectation affect the gold price, International Advances in Economic Research,2000, Volume 6, Number 2, Page 369
[23]Lawrence,C.Why is Gold Different from other Assets?An Empirical Investigation.World Gold Council,2003
[24]Levin,E.J.,Wright,R.E.Short-run and Long-run Determinants of the Price of Gold.World Gold Council Research Study,2006(32)
[25]Mahdavi,S.,Zhou.S.Gold and Commodity Prices as Leading Indicators of Inflation:Tests of Long-Run Relationship and Predictive Performance. Journal of Economics and Business,1997,49
[26]Mandelbrot,B.The variation of certain speeulative priees [J]. Journal of Business of the University of Chieargo,1963,Vol.36,pp 394-419
[27]Melvin,M.,Sultan,J.South Africa political unrest,oil prices,and the time varying risk premium in the gold futures market[J].Joumal of Futures Markets,1990(10):103-112
[28]Ranson,D.,Wainwright&Co.Economics.Inflation protection:why gold works better than "linkers".World Council report,2005
[29]Salant,S.W., Henderson,D.W. Market anticipations of government policies and the price of gold[J],Journal of Political Economy,1978,86(4):329—350
[30]Sherman,E.J.A gold pricing model[J].Journal of Portfolio Management,1983(9):68-70
[31]Sjaastad,L.A.,Scacciavillani,E.The price of gold and the exchange rate[J],Journal of International Money and Finance,1996(15):879-897
[32]Solt,M.,Swanson,P. J.On the efficiency of the markets for gold and silver[J].Journal of Business,1981,54(3):453-478
[33]Tandon,K.,Urich,T.Intemational manet response to announcements of US macroeconomic data[J].Joumal of International Money and Finance,1987(6):71—84
[34]Terenee,C.Mills.Statistieal analysis of daily gold price data[J]. Physiea.,2004. vol.338,pp 559-566
[35]Thomas,L.Basic stylized facts shared by almost all financial. Lecture at the Second School on the Mathematics of Economics[C],Trieste:2000(8):123-155
[36]Tschoegl,A.E. Efficiency in the gold market[J]. Journal of Banking and Finance,1980, 4(4):371-379
[37]傅瑜.近期黄金价格波动的实证研究.产业经济研究,2004(1)：30-41
[38]高铁梅.计量经济分析方法与建模[M],清华大学出版社,2005
[39]郭晓亭,蒲勇健,林略.风险概念及其数量刻画[J].数量经济技术经济研究,2004(2)：111-115
[40]胡乃联,宋鑫.自适应过滤模型在黄金价格预测中的应用[J].黄金,1999(5)
[41]贾胜如人民币汇率VaR风险度量的实证研究硕士毕业论文20080501
[42]李伟杰.浅谈历史模拟法VaR的设计和实现[J],时代金融,2009(7)
[43]刘庆富,仲伟俊,梅姝娥基于VaR-GARCH模型族的我国期铜市场风险度量研究[J]系统工程学报2006(8)
[44]刘曙光,胡再勇.黄金价格的长期决定因素稳定性分析.世界经济研究,2008(2)：35-41
[45]孙琳基于VaR-GARCH模型的石油市场风险管理研究,硕士毕业论文20080301
[46]谭惠文,谢志超.黄金期货的投资价值分析[N].和讯网,2007-11-6
[47]温博慧.国内外黄金价格波动性及其演化的实证研究[J].世界经济情况,2008(10)：59-64
[48]肖雄伟.论我国黄金期货投资风险的影响因素及投资策略[J],经济师,2008(3)
[49]杨立洪,徐黄玮,何韵妍用GARCH—VaR族模型度量股指期货市场风险管理科学与系统科学研究新进展[J],2007年10月：296～300
[50]杨柳勇,史震涛.黄金价格的长期决定性因素分析,统计研究,2004(6)：21-24
[51]叶青,易丹辉.中国证券市场风险分析基本框架的研究[J],金融研究,2000(6)
[52]袁鲲.我国黄金市场发展存在的问题及对策[J],南方金融,2008(6)
[53]章程.黄金价格和美元的相关性分析[N].金融时报,2006-09-15
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[55]郑秀田.基于GARCH—M模型的黄金市场风险与收益关系研究[J].黄金,2008,29(5)：4-7
[56]郑秀田 我国黄金市场的波动特征与风险度量研究硕士毕业论文2008-12
[57]周泽炯 基于VaR-GARCH模型对证券投资基金风险的实证研究[J]华东经济管理2009(2)
[58]周鸷 基于历史数据模拟法和GARCH模型的VaR技术在中国证券市场的应用研究硕士毕业论文20070420
[59]邹建军,张宗益,秦拯GARCH模型在计算我国股市风险价值中的应用研究[J],系统工程理论与实践2003(5)
[2]Antonino,P.,Franeo,P.,David,D.Forceasting gold price changes:Rolling and recursive neural Network models[J],Journal of Multinational Finaneial Management,2007,Vol.322,pp.1-11
[3]Bailey, W.Money supply announcements and the ex ante volatility of asset prices[J]. Journal of Money,Credit Banking,1988(20):611-620
[4]Baker,S.A.,Van-Tassel,R.C.Forecasting the price of gold:a fundamentist approach[J].Atlantic Economics Journal,1985(13):43-52
[5]Cai,J.,Cheung,Y. L., Wong,M.C.S.What moves the gold market?[J],Journal of Futures Markets,2001(21):257-278
[6]Capie.F.,Mills.T.C.,Wood.G.,Gold as a Hedge against the US Dollar.World Gold Council.2004(9)
[7]Cheung,Y.,Lai,K.S.Do gold market returns have long memory?The Financial Review,1993,28(2):181-202
[8]Christie,D.R.,Chaudhry,M.,Koch,T.Do macroeconomic news releases affect gold and silverprices[J].Journal of Economics and Business,2000(52):405-421
[9]Crane.F.G,Insurance Principles and Practices 12nd ed [M],New York:Wiley,1984
[10]Dooley,Isard,Taylor.Exchange rates,country specific shocks and gold[J].Applied financial Economics,1995 (5):121-129
[11]Edel,T.,Brian,M.,A power GARCH examination of gold market[J].International Business and Finance,2007, Vol.21,pp.317-324
[12]Edel,T.Seasonality.Risk and return in daily COMEX gold and silver data 1982-2002. Institute for International Integration Studies[C].German.2005(1):231-260
[13]Fortune,J.N.The inflation rate of the price of gold,expected prices and interest rates[J] Journal of Macroeconomics,1987(9):71-82
[14]Frank,M.,Stengos,T. Measuring the strangeness of gold and silver rates of return[J]. Review of Economic Studies,1989,56:553-567
[15]Graham Smith.The Price of Gold and Stock Price Indices for the United States.The World Gold Council,2001
[16]Hatmston,S.Gold as a store of value.The World Gold Council,1998
[17]Herbrieh,R.,Keilbaeh,M.,Graepel,T.Neural networks in eonomies:baekground,applieations And newdevelopments[J].In:Brenner,T.(Ed.),Advanees in Computational Eeonomies:Computa- tional Techniques for Modelling Learning in Eeonomies,2000,Vol.11,pp.169-196
[18]Jonathan,A.B.,Brian,M.L.Volatility in the Gold Futures Market.Institute for International Integration Studies[C], Dublin.2007(6):101-113
[19]Kennedy,S.C.A Historical Review:American Gold Market.The World Gold Council,2002(l).
[20]Koutsoyiannis,A.A short-run pricing model of a speculative asset tested with data from the gold bullion market[J].Applied Economic,1983(15):563-582
[21]Larry,A.,Fabio,S.The price of gold and the exchange rate[J], Journal of International Money and Finance,1996(15):879-897
[22]Laurence.E.B., How surprise changes in inflationary expectation affect the gold price, International Advances in Economic Research,2000, Volume 6, Number 2, Page 369
[23]Lawrence,C.Why is Gold Different from other Assets?An Empirical Investigation.World Gold Council,2003
[24]Levin,E.J.,Wright,R.E.Short-run and Long-run Determinants of the Price of Gold.World Gold Council Research Study,2006(32)
[25]Mahdavi,S.,Zhou.S.Gold and Commodity Prices as Leading Indicators of Inflation:Tests of Long-Run Relationship and Predictive Performance. Journal of Economics and Business,1997,49
[26]Mandelbrot,B.The variation of certain speeulative priees [J]. Journal of Business of the University of Chieargo,1963,Vol.36,pp 394-419
[27]Melvin,M.,Sultan,J.South Africa political unrest,oil prices,and the time varying risk premium in the gold futures market[J].Joumal of Futures Markets,1990(10):103-112
[28]Ranson,D.,Wainwright&Co.Economics.Inflation protection:why gold works better than "linkers".World Council report,2005
[29]Salant,S.W., Henderson,D.W. Market anticipations of government policies and the price of gold[J],Journal of Political Economy,1978,86(4):329—350
[30]Sherman,E.J.A gold pricing model[J].Journal of Portfolio Management,1983(9):68-70
[31]Sjaastad,L.A.,Scacciavillani,E.The price of gold and the exchange rate[J],Journal of International Money and Finance,1996(15):879-897
[32]Solt,M.,Swanson,P. J.On the efficiency of the markets for gold and silver[J].Journal of Business,1981,54(3):453-478
[33]Tandon,K.,Urich,T.Intemational manet response to announcements of US macroeconomic data[J].Joumal of International Money and Finance,1987(6):71—84
[34]Terenee,C.Mills.Statistieal analysis of daily gold price data[J]. Physiea.,2004. vol.338,pp 559-566
[35]Thomas,L.Basic stylized facts shared by almost all financial. Lecture at the Second School on the Mathematics of Economics[C],Trieste:2000(8):123-155
[36]Tschoegl,A.E. Efficiency in the gold market[J]. Journal of Banking and Finance,1980, 4(4):371-379
[37]傅瑜.近期黄金价格波动的实证研究.产业经济研究,2004(1)：30-41
[38]高铁梅.计量经济分析方法与建模[M],清华大学出版社,2005
[39]郭晓亭,蒲勇健,林略.风险概念及其数量刻画[J].数量经济技术经济研究,2004(2)：111-115
[40]胡乃联,宋鑫.自适应过滤模型在黄金价格预测中的应用[J].黄金,1999(5)
[41]贾胜如人民币汇率VaR风险度量的实证研究硕士毕业论文20080501
[42]李伟杰.浅谈历史模拟法VaR的设计和实现[J],时代金融,2009(7)
[43]刘庆富,仲伟俊,梅姝娥基于VaR-GARCH模型族的我国期铜市场风险度量研究[J]系统工程学报2006(8)
[44]刘曙光,胡再勇.黄金价格的长期决定因素稳定性分析.世界经济研究,2008(2)：35-41
[45]孙琳基于VaR-GARCH模型的石油市场风险管理研究,硕士毕业论文20080301
[46]谭惠文,谢志超.黄金期货的投资价值分析[N].和讯网,2007-11-6
[47]温博慧.国内外黄金价格波动性及其演化的实证研究[J].世界经济情况,2008(10)：59-64
[48]肖雄伟.论我国黄金期货投资风险的影响因素及投资策略[J],经济师,2008(3)
[49]杨立洪,徐黄玮,何韵妍用GARCH—VaR族模型度量股指期货市场风险管理科学与系统科学研究新进展[J],2007年10月：296～300
[50]杨柳勇,史震涛.黄金价格的长期决定性因素分析,统计研究,2004(6)：21-24
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