| 基于EGARCH模型对中国黄金市场的实证研究 |
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| 引用本文： | 任立民. 基于EGARCH模型对中国黄金市场的实证研究[J]. 福建工程学院学报, 2011, 9(3): 293-296. DOI: 10.3969/j.issn.1672-4348.2011.03.021 |
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| 作者姓名： | 任立民 |
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| 作者单位： | 福建江夏学院电子信息科学技术系 福建福州350108 |
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| 摘 要： | 应用向量自回归EGARCH模型,对中国黄金市场与外汇市场间的收益与波动溢出效应进行经验分析。研究显示:美元兑人民币汇率和中国黄金不存在收益溢出效应,欧元兑人民币汇率对黄金存在负向溢出效应;危机期间市场之间新息冲击的"杠杆效应"减弱,对黄金走势持乐观态度,但波动性比较大。
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| 关 键 词： | 黄金收益 EGARCH模型 实证研究 溢出效应 |
An empirical study of China's gold market based on the exponential general autoregressive conditional heteroskedastic(EGARCH) model |
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| Ren Limin. An empirical study of China's gold market based on the exponential general autoregressive conditional heteroskedastic(EGARCH) model[J]. ournal of Fujian University of Technology, 2011, 9(3): 293-296. DOI: 10.3969/j.issn.1672-4348.2011.03.021 |
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| Authors: | Ren Limin |
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| Affiliation: | Ren Limin(Electronic Information Science Department,Jiangxia University,Fuzhou 350108,China) |
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| Abstract: | An empirical analysis of the effect of the return and volatility spillover of China's gold market and foreign exchange market was conducted based on exponential general autoregressive conditional heteroskedastic(EGARCH) model.The results indicate that no revenue spillover effect ocurrs in U.S.dollar against RMB exchange rate and China's gold while negative spillover effects exist in the euro against RMB exchange rate and China's gold;that the impact of leverage effect on market interest rates in crises weak... |
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| Keywords: | gold return exponential general autoregressive conditional heteroskedastic(EGARCH) model empirical study spillover |
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