Research On The Volatility Of Gold Price Return

The Autoregressive Conditional Heteroskedastieity(ARCH) class of models for conditional variances put forward by Engle(1982)was proved to be extremely useful for analyzing economic time series. ARCH class of models have been developed to account for empirical regularities in financial data. Many financial time series have a number of characteristics in common. Firstly, the volatility of logarithmic return series usually show different volatility and volatility don’t change over a short period of time, thatl5, volatility of the return series appears to be clustered and provides a high level volatility persistence. Secondly, some series exhibit so-called leverage effects, that is, changes in stock prices tend to negatively correlated with changes in volatility.The thesis combines qualitative analysis and empirical study. Discusses the influences caused by gold price volatility to economy, analyses the main factors that caused gold price volatility. This article introduced ARCH-type models, SV-type models and the method to estimate the parameters in these models. First, the GARCH model, the TGARCH model, the EGARCH model and the GARCH-M model in the ARCH model system were analyzed, which is based on the data of returns ratio series of international gold price. Then, the SV-model were analyzed according to the Bayesian theorem. A Markov chain Monte Carlo algorithm procedure with Gibbs sampler was designed to estimate the models’ Parameter through the WinBUGS software. We may draw the conclusion, stochastic volatility model is more fit for descript gold price volatility characteristics.The main points of this thesis are as follows:the gold price volatilities show certain clustering and continuance, stochastic volatility model is more fit for descript gold price volatility characteristics. The development of gold market in our country is later than western countries and gold plays an important role in foreign reserve system. Therefore, deepen reformation, complete gold market price mechanism, make sound gold reserve system, positively participate in gold futures trading are feasible policies to safeguard Chinese gold market development and economic security.