Time Series Modeling And Correlation Analysis Of China’s Gold Price

As a precious metal,gold is a hard currency to ensure investors’ assets not to be eroded by inflation,and investing in gold is not like investing in stocks and real estate which will encounter market crash situation, thus gold investment becomes very popular for most people. So, research in gold price will have more practical significance. Through the analysis of distribution characteristics of the gold price yield, Firstly, the asymmetric GARCH model (TGARCH models to fit the daily yield of gold price from January1,2007to April30,2013) has been adopted in this paper. Secondly,We use Copula function theory to explore the impact of the Shanghai Composite Index, Yuan-dollar exchange rate, money supply and GDP respectively on the price of gold, and homogeneity measure and tail correlation coefficient between them have also been given. Finally, this paper predicts the value of the price of gold in next eight months based on the model of multivariate time series models (VAR model fitting monthly data between the price of gold from January2003to April2013).Empirical studies have shown that, the value of gold prices are difficult to achieve the level of before in the future short-term or long-term. There are many reasons resulting in the falling of price of gold.Cyprus selling gold reserves has led to short-term supply and demand imbalance in the gold market. The recovery of the U.S. economy weakened the anti-risk role of gold. And the China’s GDP growth data for the first quarter is lower than expected, which also weakened the demand for gold in China. All these reasons lead to a rebound in the price of gold.