基于VaR-GARCH模型族的 我国黄金期货风险度量研究

he distribution of financial time series has the characteristic of fat tails, volatility clustering and some other characteristics. In line with GED distribution is suited to describe asset returns with fat tails, and the merit of GARCH family model describing the yield behavior with dynamic characteristics, we get VaR measure methods using GARCH and EGARCH models, which based on the GED distribution. Using the Shanghai gold futures daily closing price to analyze and calculate the daily market risk VaR. The results show that the value risk of EGARCH-GED model can better describe the market risk of gold futures market, and that can be used for risk prediction of our newly launched gold futures market.