Quantile-GARCHModel.PDF

Value at Risk for Gold Spot Based on Quantile-GARCH Model Li Li1,2,3, Lei Xiao4,* 1Yunnan Association for Promotion of Trans-Asian Financial Cooperation and Development, Kunming 650092, China 2Pan-Asia Business School, Yunnan Normal University, Kunming 650092, China 3Champion Property Casualty Insurance Co., Ltd., Kunming 650228, China 4School of MARXISM Studies, Kunming University, Kunming 650214, China 基于Quantile-GARCH 模型的黄金现货风险价值 度量 1,2,3 4,* 李丽 ，肖磊 1 云南省泛亚金融合作发展促进会，昆明650092, 中国 2 云南师范大学泛亚商学院，昆明650092, 中国 3 诚泰财产保险股份有限公司, 昆明650228, 中国 4 昆明学院马克思主义学院, 昆明650043, 中国 Abstract 我国黄金现货AU9999 的数据进行风险价值实 证分析。结果表明：基于这类Quantile-GARCH With the rapid development of gold spot market, 模型在 99% 的置信水平下能够较好地刻画黄 the value at risk of gold spot took attention of 金现货市场的风险价值。 market participants. Spot gold trading time series 关键词：黄金现货；Quantile-GARCH ；风险 data show the pea