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標題:Value-at-Risk Forecasts in Gold Market under Oil Shocks
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學期
出版(發表)日期2009/09/01
作品名稱Value-at-Risk Forecasts in Gold Market under Oil Shocks
作品名稱(其他語言)
著者Cheng, Wan-hsiu; Su, Jung-bin; Tzou, Yi-pin
單位淡江大學財務金融學系
出版者Victoria: EuroJournals Publishing
著錄名稱、卷期、頁數Middle Eastern Finance and Economics 4, pp.48-64
摘要This paper investigates the out-of-sample value-at-risk (VaR) forecasts in gold markets by considering both oil volatilities and the flexible model construction. We used the combined BHK (Brenner, Harjes, and Kroner, 1996) and power GARCH (PGARCH) models to consider not only the effect of spot prices, but also the endogenized power term. The empirical results indicate that the PGARCH-HV model with its flexibility in power term for data transformation and the high volatility of crude oil is the best model for VaR forecasting. The findings have implications for investors, financial institutions, and futures exchanges.
關鍵字Gold; Oil volatility; PGARCH; BHK; Value-at-risk
語言英文
ISSN1450-2889
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