我国开放式基金风险度量——基于GARCH模型和SV模型的VaR比较

Risk Measuring of Open-ended Funds——Comparison of VaR Based on GARCH and SV Models

本文是对我国开放式基金市场风险的度量进行研究,找到一种能有效测度我国开放式基金市场风险的模型,给投资者和投资机构提供参考。考虑到金融时间序列数据的波动性以及概率分布,本文运用了GARCH类模型和SV类模型,并分别基于正态分布和T分布进行了建模,进而将其应用于计算VaR值。通过实证结果对比表明,基于SV-T模型计算得到的VaR值更具有准确性,是较优的基金风险测度模型。

This paper does research on the risk measuring of the market risk of China＇s open-ended funds, to find an appropriate model to measure the risk, giving reference to investors and corporations. Under the consideration of the volatility of the finance time series and the probability distribution,the paper untilizes GARCH model and SV model and modes them based on N distribution and T distribution, and then uses the results to calculate the VaR. In spite of the Empirical comparison, we find the VaR based on the SV-T model is more accurate, which is a superior risk measuring moedel.