Research On Risk Measurement Of China’s Gold Market With Zero Rate Of Return

Gold is a special commodity with both monetary,commodity and investment properties.As an important part of the financial market,the gold market not only acts as the most important financing market for gold investment,but also has functions such as hedging,hedging,and asset securitization.In recent years,the world economy has been turbulent,changeable and unpredictable,and gold is favored by the market because of its value preservation.However,a fact that cannot be ignored is that the volatility of the gold market is also increasing,and high volatility also means high risk.At the same time,price fluctuations in the gold market will be more affected by international factors such as inflation,interest rates,the US dollar,crude oil,and global policies.With the increase of uncertainty in the international situation and the constant changes in the policies of various countries,how to accurately describe the price fluctuation of gold and measure the risk of the gold market has become one of the hot issues that academics and investors pay close attention to.In view of this,this paper selects the returns of six representative groups of gold products Au9995,Au9999,Au100 g,Au(T+D),Au ZDF and NYAu TN12 in the Shanghai Gold Exchange as samples to analyze their return fluctuations and zero return rates.This paper finds that the probability that the observed rate of return on financial assets is equal to zero is not necessarily zero.This may be due to liquidity issues,market closures,rounding errors,and characteristics of specific markets,etc.Also,the zero probability may change and depend on market conditions.However,in common financial risk models,such as ARCH type models,SV type models,the probability of zero return is usually zero or non-zero but constant.But zero probability over time often leads to biased risk estimates in these model classes.This paper constructs a zero-corrected GARCH model to deal with zero probability,compares the impact of zero correction on volatility forecasts,Va R(value at risk)and ES(expected loss),and uses ME as the overall measure MAE as the daily difference average measure to measure the magnitude of specific deviations.Through the above empirical research,it is found that: China’s gold market has volatility agglomeration and volatility persistence;If zero is not corrected for,the time-varying and nonstationary zero probability will cause underestimation of risk measured by conditional variance,and on daily data,may produce larger errors,which can have a significant impact on volatility analysis;For a given volatility level,the effect of zero return on Va R is highly nonlinear,and the existence of time-varying zero probability will cause Va R to shift upward or downward;the impact of timevarying zero probability on ES is always monotonic,For time-varying and stationary zero probabilities,ES tends to shift upward,and for time-varying and non-stationary zero probabilities,ES tends to shift downward.It is of great significance to accurately measure the volatility and risk of China’s gold market to stabilize China’s gold market and reduce unreasonable fluctuations in gold prices.This paper proposes to improve the relevant legal system of China’s gold market;reduce transaction costs,improve the liquidity of China’s gold market,and reduce the leverage effect of the gold market;improve the risk warning mechanism of the gold market;strengthen risk prevention and investor education related to gold finance;optimize gold market measurement model,improve the accuracy of risk measurement model prediction,and pay attention to policy recommendations on the impact of zero yield.