为了度量和比较中国金、银、铂3种主要贵金属现货投资的风险与收益，在验证3种贵金属现货资产收益率序列具有尖峰、厚尾和波动集聚性特征的基础上，运用基于GED－GARCH模型的VaR方法度量3种贵金属现货的投资风险，并以同期上证综指的表现为参照基准，依据RAROC指标对3种贵金属现货的投资绩效进行比较和评价。实证结果表明，黄金资产的风险最小，铂金次之，两者均小于同期上证综指，白银资产的风险与同期上证综指相当；从风险调整后的综合业绩表现来看，投资黄金的回报最优，白银次之，两者都优于上证综指，而铂金的回报略差于同期上证综指。
In order to measure and compare the risk and performance of gold,silver and platinum spots invest-ments,the paper first proved that the return series of Au(T+D),Ag(T+D) and Pt 99.95 spots had the typical char-acteristics of skewed,leptokurtic,fat tailed and volatility clustering,then used the GED-GARCH model and VaR meth-od to measure the risk of the three assets,and at last compared and evaluated the performance of the three assets with the Shanghai Composite Index based on RAROC index.The results show that the risk of gold is smaller than platinum, and they are both smaller than Shanghai Composite Index,the risk of silver is equal to Shanghai Composite Index;the performance of gold investment is better than silver,and they are both better than Shanghai Composite Index,the per-formance of platinum investment can't catch Shanghai Composite Index.
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