Forecasting Volatility Of International Spot Gold And An Empirical Study Of Its VaR Measurement

International spot gold as an investing species, which is represented by the Lon-don spot gold in the international gold market, is a great risk investment in general, the so-called high profits associated with high risk. The volatility of international spot gold is not only what investors focus on, but also a hot topic studied. In this paper, we use the 00:00 daily closing price from November 20th,2001 to October 30th,2009 as a sample, study the volatility of international spot gold price by us-ing parameters and non-parametric GARCH model,and carry out VaR estimates and its verification.Empirical results show that the volatility fitting by nonparametric GARCH model is closer to the true value than the parametric GARCH model, and the accuracy of the prediction of international spot gold price's volatility has been improved significantly; and shows that VaR model can measure the risk of interna-tional spot gold reliably accurately, by the demonstration measurement and accuracy verification for the VaR model.