基于SV模型的国际现货贵金属市场波动性实证研究数量经济学专业论文.docxVIP

Abstract Since the outbreak of the Financial Crisis, the recession of economy is evident in many countries. Both the real and virtual economy suffered great impact. In the face of inflation pressure and venture from financial market, the risk-hedging demand of capital is raising ceaselessly. With the sound capacity of maintenance and appreciation, precious metal investment market has become the safe harbor of capitals from various areas. In this context, the empirical study on the volatility of international spot precious metal market gains important practical significance. The present study adopted time-series data of daily return rate in international gold and silver spot goods markets during 2008 to 2010 as research object, used five SV models to fit volatility of the two markets and the model fitting results were compared and analyzed; in addition, this paper conducted empirical research on the imbalance reaction of international spot goods market. The results of the paper shows that obvious fat-tails and volatility clustering exists in the time series of gold and silver markets as spot goods, there is a strong fluctuation persistence and the reactions of two markets is unbalanced. But from the angle of whole interval, the leverage effect in the two markets is not significant; in contrast, the results of leverage-SV model to the fitting volatility between two markets is best. Finally, based on the result of empirical research, this article put forward some suggestions to invest the spot precious metal market and raised the shortcomings of the present study. Key Words: Spot Precious Metal Market; Volatility; SV Model; MCMC Method 目 录 摘 要........................................................................................................................... II Abstract ........................................................................................................................III 第一章 绪 论................................................................