封闭式基金交易收益率的ARCH效应分析

ARCH Efficiency Analyzing of Close-ended Funds' Returning Rate

以沪市25支封闭式基金的日收益率为研究对象,运用ARCH模型、GARCH模型验证了每支基金的尖峰厚尾现象,分析了每支基金日收益率波动的条件异方差性,并检验了上证A股指数对基金走势的影响程度,结果显示是弱相关的。

The thesis researches twenty five close-ended funds＇ daily rate of return listed in Shanghai Stock Market. Through ARCH and GARCH model, it＇ s proved every CEFs has Excess Kurtosis and Fat Tails. It is analized the volatility of daily rate of return has Conditional Heteroskedastic. It is also tested the relationship between the index of Shanghai Stock and the funds, and the result shows it is weak-related.