Heavy-Tailed Distribution and Risk Management of Gold Returns
نویسندگان
چکیده
Gold has been recognized as the most important precious metals in the human society. Other than as a medium of exchange, gold has been a consumption and investment product for a long history. It has been recognized a well-positive role in portfolio performance by many financial market practitioners. During the recent financial crisis, gold spot prices have exhibited significant volatility. Thus, effective risk management of gold spot prices play a crucial role for the industry. In this paper, we consider several types of heavy-tailed distributions and compare their performance in risk management of gold spot prices. Our results show the Skewed t distribution has the best goodness-of-fit in modelling the distribution of daily gold spot returns and generates suitable Value at Risk measures.
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