美國次級房貸危機爆發，引發全球金融與商品市場恐慌，投資人紛紛轉往避險兼保值的黃金市場，至此黃金遂成為市場中炙手可熱的投資標的，其價格的任何波動莫不引起市場關注。本研究的目的在探討黃金期貨的價格波動特性在美國次貸爆發前後是否產生結構性的變化。研究對象為美國黃金期貨價格，研究期間設定在2005年1月1日至2011年12月31日每日交易資料，其中2005年1月1日至2008年9月15日為次貸風暴前；2008年9月16日至2011年12月31日為次貸風暴後。應用Threshold GARCH與Component GARCH模型針對黃金期貨的價格波動進行分析，結果發現黃金期貨報酬存在波動叢聚、波動不對稱以及長短期波動不同的現象，但在次貸風暴前後黃金期貨報酬波動並未呈現結構性的改變。 The subprime mortgage crisis in 2008 triggered panic for global financial and commodity markets, as a result, investors have increased their gold investment, Therefore gold future market became a hot investment targets in the market, any fluctuation of the price everyone cause market concern. The purpose of this study to explore the gold futures price volatility characteristics before and after the outbreak of the U.S. subprime mortgage. Use U.S. gold futures prices in 2005 to 2011, set two during the study period, January 1, 2005 to September 15, 2008 set Subprime Mortgage Crisis before, September 16, 2008 to December 31, 2011, set Subprime Mortgage Crisis after. Using Threshold-GARCH and Component-GARCH model analysis find that return volatility clustering, asymmetric volatility phenomenon as well as long-term and short-term fluctuations in price volatility for both before and after the subprime mortgage crisis exists structure not change.
