我国贵金属现货投资风险与绩效分析.pdfVIP

ABSTRACT With the rapid development of Chinas economy and society, people are becoming increasingly wealthy, and their concept to wealth is becoming more and more open, so there are a growing number of urban and rural residents investing their wealth in varied investment channels, precious metals investment is one of them. Especially since mid- April 2013, the international as well as domestic gold price had experienced a rare crash in history, this sparked great investing enthusiasm of Chinese public investor, especially the Chinese Dama. However, the precious metals market always has its esoteric rules, most of the gamblers had been caught in depth. Therefore, only the one who objectively understand and scientifically analyze the risk and performance of precious metals investment, and master the basic rules of the precious metals market can obtain profit from the investments. This paper try to introduce the VaR model and RAROC method, which have been widely used in the traditional financial field, into the research of precious metals investment. First study the correlationship between the price of gold, silver, platinum and the Shanghai Composite Index to verify the risk-protection and appreciation role of the three precious metals. In order to measure and compare the risk and performance of gold, silver and platinum spots investments in china, first proved that the return series of AU(T+D), AG(T+D) and PT99.95 spots had the typical characteristics of skewed, leptokurtic, fat tailed and volatility clustering, then used the GED-GARCH model and VaR method to measure the risk of the three assets, and last compared the performance of the three assets with the Shanghai Composite Index based on RAROC index. The results show that gold and silver have played an more important risk-protection role than platinum; the risk of gold is smaller than platinum, and they are