Value at Risk for Gold Spot Based on Quantile-GARCH Model

DOI

10.2991/rac-16.2016.155How to use a DOI?

Keywords

Gold Spot; Quantile- GARCH model; Value at Risk

Abstract

With the rapid development of gold spot market, the value at risk of gold spot took attention of market participants. Spot gold trading time series data show the peak, fat tail and clustering properties. In this paper, a new kind of Quantile-GARCH Model was introduced and used to measure the value at risk of spot gold AU9999. The results showed that such Quantile-GARCH Model could grasp the gold spot market's value at risk under the 99% confidence level.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Li Li
AU  - Lei Xiao
PY  - 2016/11
DA  - 2016/11
TI  - Value at Risk for Gold Spot Based on Quantile-GARCH Model
BT  - Proceedings of the 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention
PB  - Atlantis Press
SP  - 956
EP  - 961
SN  - 1951-6851
UR  - https://doi.org/10.2991/rac-16.2016.155
DO  - 10.2991/rac-16.2016.155
ID  - Li2016/11
ER  -