| VaR在我国开放式基金绩效评价中的应用研究 |
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| 引用本文： | 朱晓云.VaR在我国开放式基金绩效评价中的应用研究[J].商业经济(哈尔滨),2008(17):82-83. |
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| 作者姓名： | 朱晓云 |
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| 作者单位： | 东南大学经济管理学院 |
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| 摘 要： | 通过按照开放式基金的种类,选取一级市场上30只开放式基金为样本,采用基于VaR的RAROC方法,运用统计学软件Eviews中处理厚尾现象著称的GARCH模型进行统计分析,得出的结论是:成长型基金的绩效低于股票基金标准;平衡型基金和收入型基金的RAROC值相对较高,超过了股票基金标准;指数型基金的绩效超过股票标准(市场数据);在债券种类中,债券基金的绩效最高。
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| 关 键 词： | VAR 基金绩效 GARCH模型 RAROC 开放式基金 |
On the Application of VaR in Performance Evaluation of Opening Fund in China |
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| ZHU Xiao-yun.On the Application of VaR in Performance Evaluation of Opening Fund in China[J].Business Economy,2008(17):82-83. |
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| Authors: | ZHU Xiao-yun |
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| Institution: | ZHU Xiao-yun |
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| Abstract: | According to the types of opening funds,this paper chose 30 opening funds as sample in primary market by means of RAROC of VaR and GARCH model famous for dealing with fat-tail phenomenon in Eviews to analyze them and concluded that the per-formance of growth fund is lower than the standard of stock fund,the RAROC value of balance fund and income fund is higher,exceed-ing the standard of stock fund,the performance of index fund exceeds stock standard(market date),and the performance of bond fund is highest in all kinds of bonds. |
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| Keywords: | VaR fund performance GARCH model RAROC opening fund |
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