| 基于VaR-GARCH模型对证券投资基金风险的实证研究 |
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| 引用本文： | 周泽炯,. 基于VaR-GARCH模型对证券投资基金风险的实证研究[J]. 华东经济管理, 2009, 23(2): 142-145 |
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| 作者姓名： | 周泽炯 |
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| 作者单位： | 安徽财经大学,经济学院,安徽,蚌埠,233041 |
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| 基金项目： | 安徽省哲学社会科学规划办重大项目(ASKW03-04D01) |
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| 摘 要： | 根据证券投资基金收益率序列的尖峰厚尾特征，建立估计基金风险的VaR—GARCH模型。在正态分布、t分布及GED分布三种不同的分布假设下，对基金的VaR值进行估计，并应用Kupiec失败频率检验方法对VaR模型的准确性进行了返回检验。研究结果表明，相比之下，基于GED分布的GARCH模型计算的VaR值最能真实地反映基金风险。
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| 关 键 词： | 基金风险 GARCH模型 返回检验 |
The Empirical Study on the Risk of Mutual Fund Based on VaR-GARCH Model in China |
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| ZHOU Ze-jiong. The Empirical Study on the Risk of Mutual Fund Based on VaR-GARCH Model in China[J]. East China Economic Management, 2009, 23(2): 142-145 |
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| Authors: | ZHOU Ze-jiong |
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| Affiliation: | School of Economics; Anhui University of Finance and Economics; Bengbu 233041; China |
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| Abstract: | The paper sets up the VaR-GARCH Model for the risk of mutual fund based on the consideration of volatility and distribution of the return series,and estimates the VaR of mutual fund in China using the model under normal distribution,t-distribution and GED-distribution separately.Using Kupiec s back-testing we test the veracity of the VaR-GARCH Model.The result shows the VaR estimated using the model under GED-distribution is the best in reflecting the risk of mutual fund. |
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| Keywords: | the risk of mutual fund GARCH Model back-testing |
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