黄金
黃金
황금
GOLD JOURNAL
2014年
11期
8-13
,共6页
贵金属现货%投资风险%投资绩效%GARCH-VaR模型%风险调整后的资本收益(RAROC)
貴金屬現貨%投資風險%投資績效%GARCH-VaR模型%風險調整後的資本收益(RAROC)
귀금속현화%투자풍험%투자적효%GARCH-VaR모형%풍험조정후적자본수익(RAROC)
spot precious metals%investment risk%investment performance%GARCH-VaR model%RAROC
为了度量和比较中国金、银、铂3种主要贵金属现货投资的风险与收益，在验证3种贵金属现货资产收益率序列具有尖峰、厚尾和波动集聚性特征的基础上，运用基于GED－GARCH模型的VaR方法度量3种贵金属现货的投资风险，并以同期上证综指的表现为参照基准，依据RAROC指标对3种贵金属现货的投资绩效进行比较和评价。实证结果表明，黄金资产的风险最小，铂金次之，两者均小于同期上证综指，白银资产的风险与同期上证综指相当；从风险调整后的综合业绩表现来看，投资黄金的回报最优，白银次之，两者都优于上证综指，而铂金的回报略差于同期上证综指。
為瞭度量和比較中國金、銀、鉑3種主要貴金屬現貨投資的風險與收益，在驗證3種貴金屬現貨資產收益率序列具有尖峰、厚尾和波動集聚性特徵的基礎上，運用基于GED－GARCH模型的VaR方法度量3種貴金屬現貨的投資風險，併以同期上證綜指的錶現為參照基準，依據RAROC指標對3種貴金屬現貨的投資績效進行比較和評價。實證結果錶明，黃金資產的風險最小，鉑金次之，兩者均小于同期上證綜指，白銀資產的風險與同期上證綜指相噹；從風險調整後的綜閤業績錶現來看，投資黃金的迴報最優，白銀次之，兩者都優于上證綜指，而鉑金的迴報略差于同期上證綜指。
위료도량화비교중국금、은、박3충주요귀금속현화투자적풍험여수익，재험증3충귀금속현화자산수익솔서렬구유첨봉、후미화파동집취성특정적기출상，운용기우GED－GARCH모형적VaR방법도량3충귀금속현화적투자풍험，병이동기상증종지적표현위삼조기준，의거RAROC지표대3충귀금속현화적투자적효진행비교화평개。실증결과표명，황금자산적풍험최소，박금차지，량자균소우동기상증종지，백은자산적풍험여동기상증종지상당；종풍험조정후적종합업적표현래간，투자황금적회보최우，백은차지，량자도우우상증종지，이박금적회보략차우동기상증종지。
In order to measure and compare the risk and performance of gold,silver and platinum spots invest-ments,the paper first proved that the return series of Au(T+D),Ag(T+D) and Pt 99.95 spots had the typical char-acteristics of skewed,leptokurtic,fat tailed and volatility clustering,then used the GED-GARCH model and VaR meth-od to measure the risk of the three assets,and at last compared and evaluated the performance of the three assets with the Shanghai Composite Index based on RAROC index.The results show that the risk of gold is smaller than platinum, and they are both smaller than Shanghai Composite Index,the risk of silver is equal to Shanghai Composite Index;the performance of gold investment is better than silver,and they are both better than Shanghai Composite Index,the per-formance of platinum investment can't catch Shanghai Composite Index.
