摘要/Abstract

选取2008年1月9日到2014年4月30日为研究期间，使用ARMA EGARCH GED模型，对黄金期货收益和条件波动方差的星期效应、月份效应、季节效应和节日效应进行实证研究。实证结果表明，中国黄金期货价格收益存在星期效应、月份效应、季节效应和节日效应，黄金期货价格收益条件波动方差存在星期效应、月份效应和季节效应，但不存在节日效应。

This paper empirically studied calendar effects of gold futures returns and conditional volatility by using ARMA EGARCH GED model.The study period was from January 9,2008 to April 30,2014.The empirical results show that according to yield equation, China‘s gold future market has weekly effect, monthly effect, seasonal effect and holiday effect.While the volatility rate of earnings has weekly effect,monthly effect and seasonal effect.