中国黄金期货市场波动特征和风险度量研究数量经济学专业论文.docxVIP

AbstractOn Abstract On January 9，2008，gold futures，as a Chinese financial futures pioneer，attracted many people’S eyes from the date of the initial public offering，but just a few months，the main gold futures contracts appeared many gaps，the market fluctuated intensely,many investors are losing money and walked out，the liquidity in the market is pooh With access to commercial banks and the promulgation of night trading system，the participants in Chinese gold futures market increased gradually，market liquidity was enhanced greatly． However,the volatility in the market was still very severe under the influence of dollar price and intemational events．In this context，we need to strengthen the analysis of the volatility and risk in this market．The purpose of this paper is to draw lessons from domestic and foreign scholars on the cutting-edge research methods of the financial market volatility and risk measurement，analyze and research Chinese gold futures market from different perspectives，build a relatively complete research system． First of all，this paper summarizes researches about financial market volatility and risk measurement，finds that the related research about gold futures in China has some shortages．Then，to analyze gold futures market in theory,this paper introduces a variety of theoretical models of volatility characteristics in financial market and risk．quantification． What’S more，this paper selects main gold futures contracts as the research object，adopts GARCH(selects maximum likelihood to estimate parameters)and SV Model(selects MCMC Method to estimate parameters)based on normal distribution and t distribution， then adds”leverage effect”，trading volume and open interest gradually to depict the characteristics of Chinese gold futures market volatility．We can get three conclusions：first， Chinese gold futures market volatility has persistence and concentration，but its asymmetry is not obvious，this can be explained by participants’construction and the basic ch