| 基于VaR—GARCH的基金风险研究 |
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| 引用本文： | 吴秀丽,杨贺,傅小荣.基于VaR—GARCH的基金风险研究[J].改革与战略,2008,24(3):65-67. |
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| 作者姓名： | 吴秀丽 杨贺 傅小荣 |
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| 作者单位： | 1. 中海石油基地集团有限公司油田建设工程公司管道分公司,天津,300452
2. 中海石油图博可特天津管道有限公司,天津,300452 |
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| 摘 要： | 各种基金的投资理念和操作方式各有特点，其业绩和风险也大不相同。因此，有必要对投资基金的风险和收益进行评价。文章利用VaR—GARCH模型以及RAROC方法，基于65只样本基金2004年初至2006年底的数据，定量研究基金的风险。文章的研究结果表明：各个基金的VaR值即使在同一考察期内也存在较大的差异。RAROC综合考虑了风险与收益两方面的因素。从总体上对基金的经营能力做出了评价，建议使用绝对VaR和RAROC指标综合考察基金的风险和收益。
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| 关 键 词： | VaR ARCH模型 GARCH模型 VAR-GARCH模型 RAROC |
| 文章编号： | 1002-736X(2008)03-0065-03 |
On the Risk of Funds Based on VaR-GARCH |
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| Wu Xiuli,Yang He,Fu Xiaorong.On the Risk of Funds Based on VaR-GARCH[J].Reformation & Strategy,2008,24(3):65-67. |
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| Authors: | Wu Xiuli Yang He Fu Xiaorong |
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| Institution: | Wu Xiuli1,Yang He2,Fu Xiaorong1 (1.Pipeline Company of Oilfield Construction Engineering CO.,CNOOC Oil Base Group,Tianjin 300452,2.CNOOC Tube-Cote Coating Co.,Ltd,Tianjin,300452) |
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| Abstract: | The investment ideas and operational ways of funds are different, and so in their performance and risk, therefore it's necessary to carry out valuation on risk and return of funds. Based on the data of 65 sample funds from the year 2004 to 2006, the author utilized VaR-GARCH model and RAROC method to quantify the risk of funds. The main conclusion is as follows: VaR values of funds are different with each other even in the same examination period; RAROC considers risk and return synthetically and evaluates ... |
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| Keywords: | VaR ARCH model GARCH model VaR-GARCH model RAROC |
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