Value-at-Risk Forecasts in Gold Market under Oil Shocks
學年 98
學期 1
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 en
ISSN 1450-2889
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 SYC
公開徵稿
出版型式 紙本
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