Title :
The Research on the Return Volatility and the Relationship with Volumes in Shanghai Gold Market
Author :
Wen-dong, Lv ; Xiu-liang, DONG ; Yang, ZHAO
Author_Institution :
UIBE, Harbin
Abstract :
In this paper, we choose the daily data between November,2002 and December,2005 in ShangHai gold market and use EGARCH model as well as EGARCH-M model to empirically analyses the return volatility of Au22.95 and Au99.99 which are the two representative trade varieties in the market. We find that: their volatility all possess remarkable GARCH effect, but there is great difference in the volatile durability; the impact of the two conditional variances of yield rate on information all possess distinct non-symmetry; there is not obviously corresponding relationship between risk and return, when we introduce the volume and the variance rate of the volume respectively to EGARCH model, the fixed and accordant change of GARCH effect does not happen, which indicates that the volume can not explain GARCH effect completely, the volume does not fit to be the substitutional variable of the volatile information of yield rate.
Keywords :
marketing; pricing; risk management; Shanghai gold market; return volatility; risk-return relationship; variance rate; Conference management; Data engineering; Econometrics; Engineering management; Fluctuations; Gold; Insurance; Risk analysis; Risk management; Uncertainty; GARCH model; gold market; stock prices and volume; volatility;
Conference_Titel :
Management Science and Engineering, 2007. ICMSE 2007. International Conference on
Conference_Location :
Harbin
Print_ISBN :
978-7-88358-080-5
Electronic_ISBN :
978-7-88358-080-5
DOI :
10.1109/ICMSE.2007.4422102
