CAJ | 학술논문

首先对黄金和石油序列进行了简单的描述性统计，然后运用GARCH模型和参数VaR法对黄金和石油收益率的风险价值进行实证分析，并对结果进行检验。结果表明：石油比黄金的投资风险要大，而且在一定时间区间内，石油的风险价值波动幅度也较大，但石油的平均收益率高于黄金。可见，高收益伴随着高风险。同时，对出现的问题提出相关建议，为机构投资者在进行投资决策时提供参考信息。
수선대황금화석유서렬진행료간단적묘술성통계，연후운용GARCH모형화삼수VaR법대황금화석유수익솔적풍험개치진행실증분석，병대결과진행검험。결과표명：석유비황금적투자풍험요대，이차재일정시간구간내，석유적풍험개치파동폭도야교대，단석유적평균수익솔고우황금。가견，고수익반수착고풍험。동시，대출현적문제제출상관건의，위궤구투자자재진행투자결책시제공삼고신식。
We made simPle descriPtive statistics on gold an d oil Price firstly and did emPirical analy-sis on the value of risk returns of gold and oil with GARCH model and Parameter VaR method,then tested the results. It shows that the investment risk of oil is bigger than gold,and oil risk volatility is also larger in a certain time interval,but the average yield of oil is higher than gold. It is clear that high income always accomPanies with high risk. At the same time we Put forward some relevant sug-gestions on the Problems,so as to Provide reference information for investors in making investment de-cisions.