基于VaR-GARCH的基金风险研究

On the Risk of Funds Based on VaR-GARCH

各种基金的投资理念和操作方式各有特点,其业绩和风险也大不相同。因此,有必要对投资基金的风险和收益进行评价。文章利用VaR-GARCH模型以及RAROC方法,基于65只样本基金2004年初至2006年底的数据,定量研究基金的风险。文章的研究结果表明:各个基金的VaR值即使在同一考察期内也存在较大的差异。RAROC综合考虑了风险与收益两方面的因素,从总体上对基金的经营能力做出了评价,建议使用绝对VaR和RAROC指标综合考察基金的风险和收益。

The investment ideas and operational ways of funds are different, and so in their performance and risk, therefore it＇s necessary to carry out valuation on risk and return of funds. Based on the data of 65 sample funds from the year 2004 to 2006, the author utilized VaR--GARCH model and RAROC method to quantify the risk of funds. The main conclusion is as follows： VaR values of funds are different with each other even in the same examination period; RAROC considers risk and return synthetically and evaluates the operation ability of funds, so it＇s priority to use VaR and RAROC to measure risk and retum of funds.