Research On Mixing Measurement Of Volatility In Gold Market

As the "King of Metals",gold's financial and economic attributes are becoming increasingly important.On the one hand,it has the advantages of resisting inflation and general circulation,and has always been an important financial investment and financing species;on the other hand,gold reserves are also an important indicator of national economic strength.In recent two years,central banks have been increasing gold reserves.Gold price and its fluctuation trend are widely concerned by financial market participants.Therefore,accurate prediction of gold market volatility has important practical significance.The traditional volatility model is the same frequency model represented by GARCH family model.Its main drawback is that it can not process mixing data information,thus losing important information contained in high frequency data.In recent years,some scholars have proposed using Mixed Data Sampling Model(MIDAS)to decompose volatility into short-term and long-term components and then absorb mixing data information.The biggest advantage of this model is that it can process mixing data without losing high frequency data information.It is noteworthy that this model does not take into account the basic statistical properties of gold market return information.Empirical research shows that the probability density function of gold market return rate is not a standard normal distribution,and the characteristics of higher moments need to be considered.Therefore,in view of the shortcomings of the traditional volatility model,this paper constructs a new high-order moment mixing volatility model to better study the volatility of the gold market.In view of this,this paper draws lessons from the GARCH-MIDAS model proposed by Engle,and further considers the characteristics of left deviation and peak and thick tail of gold market.On the basis of GARCH-MIDAS model,high-order moment mixing volatility model,namely GARCHSK-MIDAS model,is constructed by introducing high-order moment mixing information.In addition,in terms of the choice of research data,in view of the economic strength of the United States,the traditional literature is usually based on the United States data to discuss the volatility of the gold market.However,with the continuous enhancement of China's economic strength and the promotion of voice in the international gold market,this paper argues that China should become one of the sources of volatility in the international gold market.Therefore,this paper will study the impact of China's macroeconomic data on the volatility of the international gold market.Based on the typical facts of gold market,this paper proposes and constructs a new high-order moment mixing volatility model,and then discusses the related issues of gold market volatility.Firstly,this paper combs the traditional literature on gold market,summarizes the traditional volatility research methods and their shortcomings,and combines the volatility frontier research methods and high-order moment model to put forward the research arguments of this paper,and reasonably constructs the empirical model.Secondly,an empirical model of high-order moment mixing volatility is constructed to explore the new laws and characteristics of gold price and macro-economy.Finally,macroeconomic indicators are selected to estimate the parameters of the mixing high-order moment model,and empirical discussions are carried out to form the basic conclusions of this paper.In the empirical aspect,this paper mainly does the following three aspects of work.First,we construct a single-factor volatility model to study the impact of low-frequency volatility and macroeconomic level and volatility on the volatility of the international gold market,and compare the high-order moment model with the basic model.Secondly,we build a multi-factor volatility model,add macroeconomic variables on the basis of realized volatility,and study the linkage between macroeconomic factors and financial factors on the volatility of the international gold market.At the same time,we compare the high-order moment model with the basic model.Thirdly,we use single factor and multi-factor mixed-frequency volatility model to study the impact of macroeconomic fundamentals of other economies on the volatility of the international gold market,and compare it with the empirical results of China.The empirical results show that: firstly,the high-order moment mixing volatility model constructed in this paper can improve the fitting effect of the traditional model.By comparing the fitting results of GARCH-MIDAS model and GARCHSK-MIDAS model,we find that the fitting effect of high-order moment mixing volatility model is better than that of benchmark model,whether it is single-factor model or multi-factor model.Secondly,we find that China's macroeconomic fundamentally has a significant positive impact on the volatility of the international gold market.This means that the international gold market and China's economic cycle have the characteristics of synergistic changes.At the same time,this paper also finds that China's short-term interest rates and other macroeconomic indicators have a significant impact on the volatility of the international gold market.Thirdly,this paper argues that the volatility of macroeconomic indicators has a positive impact on the international gold market,but the overall impact is not as good as the level value.Then,on the basis of realized volatility,this paper builds a two-factor model by adding macro-fundamentals data,and finds that the fitting effect of the model has been improved.It proves that low-frequency volatility and macro-fundamentals together affect the volatility of the international gold market.On the basis of the two-factor model,the fitting effect of the four-factor model constructed by introducing interest rate and exchange rate will be further improved,which shows that short-term interest rate and exchange rate have additional effects outside the macroeconomic fundamentals.Finally,this paper compares the impact of China,the United States and the world's macroeconomic fundamentals on the volatility of the international gold market,and finds that the impact of China's macroeconomic fundamentals on the volatility of the international gold market is not as good as that of the United States and the world's macroeconomic fundamentals.However,this gap is relatively small,which indicates that China's economy is increasingly important to the volatility of the international gold market.The prediction of the volatility of the international gold market should take China into account.China has become one of the sources of the volatility of the international gold market.