基于SV模型的国际现货贵金属市场收益波动的杠杆效应分析

针对国际现货贵金属市场收益波动中是否存在杠杆效应的问题,选取2008年至今的黄金、白银市场数据进行分析,运用具有杠杆效应的SV模型对其收益波动建模,并采取MCMC法—Gibbs法进行参数估计.结果表明:与股票市场的研究结论不同,国际现货黄金、白银市场在整个观察期内几乎不存在杠杆效应;但其震荡期内存在较弱的杠杆效应.

Analysis of Leverage Effect of Return Volatility in International Spot Precious Metal Market Based on SV Model

For the issue whether the leverage effect of return rate volatility in international spot precious metal market is existence,by analyzing the gold and silver markets’ data during 2008 to now,this paper uses a SV model with leverage effect to model volatility of gold and silver markets’ return rate,and adopts MCMC—Gibbs method to estimate model’s parameters.The results showed that:different with the general conclusion of the study on the stock markets,international spot gold and silver markets in the whole observation period,there is almost no leverage effect;but in the shock period,there is a weak effect.