摘要
在贵金属市场波动行情中,金银期货套利可以获得相对确定的收益。选取2013年1月4日至2023年8月31日上海期货交易所黄金白银商品主力合约价格比值数据进行分析,建立ARCH(1)、GARCH(1,1)、EGARCH(1,1)模型,发现实证期间金银价比波动具有集聚性、持续性,金银价比上升或者下降具有杠杆效应。基于此,本文设计长期策略和短期策略。在长期策略中,可以主要采取多金、多银或者阶段性做空操作。在短期策略中,采取同等仓位的多金空银策略或者空金多银策略。
In the volatility of market of precious metals,arbitrage of gold and silver futures can yield relatively certain returns.Selecting the price ratio data of the main contracts of gold and silver commodities in the Shanghai Futures Exchange from January 4,2013 to August 31,2023,ARCH(1),GARCH(1,1),and EGARCH(1,1)models were established.It was found that the volatility of the gold-silver price ratio during the empirical period has an effect of agglomeration and persistence,and the rise or fall of the gold-silver price ratio has a leverage effect.Based on this,this article designs long-term and short-term strategies.In long-term strategies,it is possible to mainly adopt long gold,long silver,or phased short selling operations.In the short-term strategy,it is possible to mainly adopt a long gold and short silver strategy or a short gold and long silver strategy with equal positions.
作者
李轩
牛亮
穆天闻
陈鹏
LI Xuan;NIU Liang;MU Tian Wen;CHEN Peng
出处
《价格理论与实践》
北大核心
2023年第10期194-198,共5页
Price:Theory & Practice
关键词
贵金属市场
黄金白银合约
套利策略
金银价比
风险控制
precious metals market
gold and silver future contract
arbitrage strategy
gold and silver price ratio
risk control
