How to measure the market risk is very important for the participants in gold spot market.Value at Risk (VaR) is one of the effective techniques to estimate market risk.The paper constructs a VaR-EGARCH-GED model to measure the gold spot market risk in China, and finds that the risk has been generally increasing in the recent years.VaR-EGARCH-GED model is a suitable method to measure market risk, so participants in gold spot market can use it to manage risk.%对于黄金现货市场的参与者来说,较好地度量市场风险至关重要.VaR是度量市场风险的有效方法之一.通过建立VaR-EGARCH-GED模型,度量了中国黄金现货市场的风险,且发现近年来中国黄金现货市场风险总体上呈现出越来越大的趋势.鉴于VaR-EGARCH-GED模型能够很好地度量市场风险,因此黄金现货市场的参与者可以借助该模型进行风险管理.
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