Gold Investment Risk Analysis Model Based on Time Series

Zhi Tao Yu

doi:10.4028/www.scientific.net/AMR.926-930.3834

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 926-930Gold Investment Risk Analysis Model Based on Time...

Gold Investment Risk Analysis Model Based on Time Series

Abstract:

With the growing size of the gold market, all kinds of gold investment varieties are constantly emerging, namely, meet the residents needs and requirements of the investment risk, also makes the prime financial rise. This paper analyzes quantify the risk of gold market fundamentals, and has a deep research on the historical development of the global gold market, global gold market developing trends and factors affecting the gold price. This paper focuses on analysis of VAR risk management theory and VAR-GARCH model. VAR-GARCH model can be more effective on the VAR value forecast, which is a better way to estimate the gold market risk. In addition, VAR-GARCH conditional variance model is also analyzed, and high-risk the real market is the corresponding.

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Periodical:

Advanced Materials Research (Volumes 926-930)

Pages:

3834-3837

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.926-930.3834

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Online since:

May 2014

Authors:

Zhi Tao Yu*

Keywords:

Gold Investment, Gold Market, Risk Management (RM), VAR-GARCH

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