Proceedings of the 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention

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

Authors
Li Li, Lei Xiao
Corresponding Author
Li Li
Available Online November 2016.
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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Volume Title
Proceedings of the 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention
Series
Advances in Intelligent Systems Research
Publication Date
November 2016
ISBN
978-94-6252-242-8
ISSN
1951-6851
DOI
10.2991/rac-16.2016.155How to use a DOI?
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/).

Cite this article

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  -