| 中证开放式基金指数和GARCH-M模型 |
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| 引用本文： | 李坤保,马君潞.中证开放式基金指数和GARCH-M模型[J].数学的实践与认识,2014(19). |
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| 作者姓名： | 李坤保 马君潞 |
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| 作者单位： | 南开大学商学院;南开大学经济学院; |
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| 摘 要： | 基于开放式基金指数周收益率时间序列的非正态性和厚尾特性,以中证开放式基金指数为例,运用GARCH-M模型进行研究,系统地分析我国不同类型的开放式基金的投资风险.实证分析表明:GARCH-M模型对中证开放式基金指数周收益率的拟合效果较好,并为预测我国开放式基金的投资风险提供了科学依据.
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| 关 键 词： | 开放式基金 投资风险 风险模型 GARCH-M |
CSI Open-end Fund Index and GARCH-M Model |
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| Abstract: | Because of CSI open-end fund index's weekly return time series is non-normality and fat tail properties,CSI open-end fund index is regarded as a case,we use GARCH-M model to study CSI open-end fund index's weekly return.By empirical analysis,the result shows that GARCH-M model fits CSI open-end fund index's weekly return well,and it provides scientific basis for forecasting the investment risk of open-end fund in China. |
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| Keywords: | open-end fund investment risk risk model GARCH-M |
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