本文選題：國際黃金價格 + 美元指數(shù)　； 參考：《天津財經(jīng)大學(xué)》2013年碩士論文

【摘要】：黃金是國際公認的硬通貨,它具有商品與貨幣的雙重屬性,是投資者資產(chǎn)保值增值的重要方式。最近十年,受歐洲主權(quán)債務(wù)危機和國際金融危機等因素的影響,黃金價格屢創(chuàng)新高出現(xiàn)了大幅波動,一直在高位震蕩上行。越來越多的投資者將貨幣換成黃金套取增值,而黃金價格的劇烈震蕩也讓許多投資者遭受了巨大的損失。對黃金價格的波動性進行研究并從中找到金價波動的特點、對黃金價格未來的走勢進行有效的預(yù)測,有著極其重要的理論和現(xiàn)實意義。 文章首先詳細介紹了國際上主要的黃金市場,深入分析了影響黃金價格波動的各個重要因素；然后選取合適的數(shù)據(jù)樣本并進行數(shù)據(jù)預(yù)處理,通過對比分析建立預(yù)測模型并進行模型檢驗和預(yù)測效果的對比；最后總結(jié)全文并展望未來金價的走勢。 黃金價格波動預(yù)測的方法上多元回歸模型使用的最多,但是該模型沒有考慮殘差的異方差性,效果并不理想。而時間序列模型則是根據(jù)被預(yù)測變量過去變化的規(guī)律性來建立模型,但是沒有考慮外生變量的影響,對外界響應(yīng)不敏感。所以,文章選取2002年1月2日至2013年2月22日的倫敦黃金交易所黃金的日定盤價作為樣本,在模型上引入GARCH族模型來處理黃金價格序列中的條件異方差現(xiàn)象,在均值方程中引入對黃金價格影響最大的美元指數(shù)作為外生變量,最終建立起帶有外生變量的EGARCH-X預(yù)測模型。結(jié)果顯示,EGARCH-X模型不但可以有效地實現(xiàn)神經(jīng)網(wǎng)絡(luò)的黑盒子預(yù)測功能、而且大大提高了預(yù)測精度,可以直觀地把握波動率變化關(guān)系,取得了很好的效果。文章結(jié)論表明,黃金價格的波動率存在著明顯的ARCH效應(yīng),杠桿效應(yīng)也很明顯,并且波動率存在非常強的長記憶性。
[Abstract]:Gold is an internationally recognized hard currency, it has the dual attributes of commodity and currency, and is an important way to maintain and increase the value of investors' assets. In the last decade, gold prices have fluctuated sharply at record highs due to factors such as the European sovereign debt crisis and the international financial crisis. A growing number of investors are trading their currencies for gold, and many have suffered huge losses from sharp swings in the price of gold. It is of great theoretical and practical significance to study the volatility of gold price and find out the characteristics of gold price fluctuation and to predict the future trend of gold price effectively. In this paper, the main international gold markets are introduced in detail, and the important factors that affect the gold price fluctuation are analyzed in depth, and then the suitable data samples are selected and the data pretreatment is carried out. The prediction model is established through comparative analysis, and the model test and prediction effect are compared. Finally, the paper summarizes the full text and looks forward to the trend of gold price in the future. Multivariate regression model is widely used in forecasting gold price fluctuation, but the model does not take into account the heteroscedasticity of residual, so the effect is not satisfactory. The time series model is based on the regularity of the past changes of the predicted variables, but it does not take into account the influence of exogenous variables and is insensitive to the external response. Therefore, the paper selects the daily fixed price of gold from January 2, 2002 to February 22, 2013 as the sample, and introduces the GARCH family model to deal with the conditional heteroscedasticity phenomenon in the gold price sequence. The dollar index, which has the greatest influence on gold price, is introduced into the mean equation as an exogenous variable. Finally, the EGARCH-X prediction model with exogenous variables is established. The results show that the EGARCH-X model can not only effectively realize the black box prediction function of neural network, but also greatly improve the prediction accuracy. The conclusion shows that the volatility of gold price has the obvious ARCH effect, the leverage effect is also obvious, and the volatility has very strong long memory.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F831.54;F224

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本文編號：1965572