摘要
如何把握资产的流动性风险,将流动资产控制在一个合适的范围内,一直是开放式基金经理所关心的问题。本文采用Engle提出的GARCH-M模型,对我国现有开放式基金的流动风险进行检验,在此基础上,计算出开放式基金流动性风险的临界点,为可能存在流动性危机的开放式基金进行预警。
How to dominate the liquidity risk of open-ended funds assets and restrict the liquidity risk in appropriate spectrum have been the most concerning problem to the open- ended funds managers. We use the GARCH-M （Generalized Auto Regressive Conditional Hetero skedasticity in mean）, which is a model proposed by Robert F. Engle, to test the open-ended funds liquidity risk in China. Based on the GARCH-M empirical evidence, we calculate the critical point of open-fund liquidity risk, which can give forward caution to warn the managers when the probability of liquidity risk explosion increases.
出处
《财经理论与实践》
CSSCI
北大核心
2008年第1期49-52,共4页
The Theory and Practice of Finance and Economics
基金
教育部哲学社会科学研究重大课题攻关项目《中国金融国际化中的风险防范与金融安全研究》的资助,课题批准号:06JZD0016
