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《Journal of Taiyuan Normal University(Natural Science Edition)》 2015-01
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GARCH-VAR Model Based on the Risk of Gold Shares

Cai li;Feng Changhuan;Mathematics &Information Institution China West Normal University;  
As one of the basic tools in today's risk management,VAR has been widely used in risk management of various financial assets.Variance covariance model is a general method for calculating the VAR,which is assumed that the financial time series follow normal distribution,without considering the time variance.However,time series generally have characteristics of not completely following the normal distribution,leptokurtosis,volatility clustering,variance etc,GARCH model can better capture these characteristics,So GARCH-VAR model based on variance covariance model can better carry out risk analysis of financial time series.This paper introduced in detail the GARCH-VAR model,empirically analyses how to use the GARCH-VAR model to measure the risk of gold shares,and draw the corresponding conclusion.
【Fund】: 西华师范大学基本科研业务费专项资金资助(14C004);; 南充市社科规划一般规划课题(NC2013B027)
【CateGory Index】: F224;F832.51
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【Citations】
Chinese Journal Full-text Database 1 Hits
1 BAI Xiao-yan;CHEN Qin;School of Economics and Management,Wuhan University;Zhonghua Strect Agency,Wuchang District Government of Wuhan City;;The Measurement of China's Foreign Exchange Reserves' Exchange Rate Risk Based on VaR-GARCH Model[J];Journal of Wuhan University of Technology(Social Sciences Edition);2013-06
【Co-citations】
Chinese Journal Full-text Database 10 Hits
1 LIU Kanghua;GUO Jinping;Economics and Management School,Shihezi University;;Dynamic Correlation Effect of Xinjiang Ecological Agriculture Development and Agricultural Modernization[J];Guizhou Agricultural Sciences;2014-03
2 Cheng Rong;Heihe University,Economic Management Department;;Export Tax Rebates and Export Relations during the Eleventh Five Heihe City Investigation and Analysis[J];Journal of Heihe University;2014-04
3 ZHENG Chun-yu;LING Wei-ping;WANG Li-ru;Department of Mathematics and Physics,Qiongtai Teachers College;Department of Basic Teaching,Guangdong Baiyun University;;Empirical Analysis on Relationship between Tourism Income and Economic Growth in Hainan[J];Journal of Hainan Radio & TV University;2015-01
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5 LI Yi;WANG Lei;SONG Zhao-zheng;LIU Zhong-da;JIANG Qing-zhe;College of Science,China University of Petroleum;PetroChina Dalian Lubricating Oil R&D Institute;PetroChina Lubricant Company;;Analysis of Price Co-movement between Lube Base Oil and Crude Oil[J];Lubricating Oil;2014-02
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7 GENG Bo;School of Information Management & Technology,Xuzhou College of Industry Technology;School of Economics & Management,Southeast University;;The Dynamic Relationship between China's Freight Volume with GDP and Transport Structure[J];Mathematics in Practice and Theory;2014-16
8 LIU Hong-yu;Longnan Teachers College;Lanzhou University;;Application research of Copula-GARCH method in portfolio risk measurement[J];Journal of Qiqihar University(Natural Science Edition);2015-01
9 LAI Yifei;HUANG Rui;TANG Song;LI Keyang;School of Economics and Management,Wuhan University;;Association model of fluctuations in interest rates, real estate investment and real estate prices[J];Engineering Journal of Wuhan University;2014-01
10 Zhang Caiqing;Zheng Jincheng;Zang Pengfei;Huang Yuansheng;School of Economics and Management,North China Electric Power University;;Rural Household Energy Consumption Structure and Its Influencing Factors in Beijing-Tianjin-Hebei Region[J];Chinese Agricultural Science Bulletin;2015-19
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Chinese Journal Full-text Database 6 Hits
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