本文關(guān)鍵詞： 黃金價(jià)格 時(shí)間序列 GARCH模型 R軟件　出處：《重慶大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：2007年，美國(guó)次貸危機(jī)爆發(fā)，全球經(jīng)濟(jì)陷入一場(chǎng)百年不遇的金融危機(jī)中。為應(yīng)對(duì)這場(chǎng)危機(jī)，，以美國(guó)為代表的世界主要經(jīng)濟(jì)體相繼出臺(tái)一系列流動(dòng)性寬松政策，為全球流動(dòng)性過(guò)剩、信用貨幣全面貶值的埋下了隱患。黃金，作為最后的支付與保值手段，在2013年之前經(jīng)歷了十多年的牛市最終跌入低谷，世界的經(jīng)濟(jì)狀況與黃金價(jià)格息息相關(guān)，其價(jià)格走向趨勢(shì)值得我們關(guān)注與研究。 國(guó)內(nèi)外對(duì)于黃金價(jià)格的研究已有好幾十年的歷史，本文首先介紹了國(guó)內(nèi)外研究學(xué)者對(duì)黃金價(jià)格分析研究的現(xiàn)狀，再對(duì)目前的國(guó)際黃金市場(chǎng)和國(guó)際金價(jià)介紹和分析，重點(diǎn)從黃金的歷史價(jià)格變遷和價(jià)格影響因素的介紹分析，影響因素包括全球經(jīng)濟(jì)發(fā)展?fàn)顩r、美國(guó)經(jīng)濟(jì)狀況、寬松貨幣政策、通貨膨脹、政治因素等等。 在定性分析的基礎(chǔ)之上，利用時(shí)間序列的相關(guān)知識(shí)和R統(tǒng)計(jì)軟件進(jìn)行定量解釋?zhuān)ㄟ^(guò)介紹經(jīng)典的時(shí)間序列ARMA和GARCH模型，并將其運(yùn)用到國(guó)際金價(jià)分析的實(shí)證研究中。 在實(shí)證分析中，根據(jù)2005年1月26日到2013年12月31日過(guò)去8年的2323個(gè)黃金價(jià)格的歷史數(shù)據(jù)樣本，進(jìn)行正態(tài)檢驗(yàn)和平穩(wěn)性檢驗(yàn)，基于GARCH模型和R軟件給出的結(jié)果進(jìn)行實(shí)證分析，并對(duì)2014年的黃金價(jià)格做出合理預(yù)測(cè)。
[Abstract]:In 2007, the subprime mortgage crisis broke out in the United States, and the global economy fell into a financial crisis once in a century. The world's major economies represented by the United States have introduced a series of liquidity easing policies, for the global liquidity surplus, the overall devaluation of the credit currency buried hidden dangers. Gold, as the last means of payment and preservation. After more than a decade of bull market decline before 2013, the world economic situation is closely related to the gold price, and the trend of its price trend is worthy of our attention and research. There have been several decades of research on gold price at home and abroad. Firstly, this paper introduces the current situation of gold price analysis by domestic and foreign researchers. Then it introduces and analyzes the current international gold market and the international gold price, focusing on the introduction and analysis of the historical price changes of gold and the factors affecting the price, including the global economic development and the economic situation of the United States. Loose monetary policy, inflation, political factors, etc. On the basis of qualitative analysis, using the relevant knowledge of time series and R statistical software for quantitative interpretation, the classical time series ARMA and GARCH models are introduced. And apply it to the empirical research of international gold price analysis. In the empirical analysis, according to the historical data samples of 2323 gold prices from January 26th 2005 to December 31st 2013 in the past 8 years, the normal test and the stability test are carried out. Based on the results of GARCH model and R software, this paper makes a reasonable forecast of gold price in 2014.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F831.54;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 傅瑜;近期黃金價(jià)格波動(dòng)的實(shí)證研究[J];產(chǎn)業(yè)經(jīng)濟(jì)研究;2004年01期

2 呂想;劉辰君;;關(guān)于不同趨勢(shì)下黃金價(jià)格影響因素的研究——基于1981-2009年數(shù)據(jù)的實(shí)證研究[J];投資研究;2012年09期

本文編號(hào)：1475132