摘要
根据波动率的估计方法,提出了计算证券投资基金风险值的VaR-GARCH(p,q)模型,从实证角度说明基金指数收益率序列存在着ARCH现象,并建立基金指数收益率波动的GARCH(3,3)模型。根据GARCH(3,3)模型计算证券投资基金的日VaR值,对基金市场风险进行了实证研究。
The VaR-GARCH （p, q） model is put forward to estimate the exposure to market risk of the securities investment fund according to volatility models. The empirical study illustrates that there is ARCH phenomenon in the return series of China securities investment fund price index. The GARCH （3, 3） model is established to fit the,olatility and compute the VaR of the return series of China securities investment fund price index.
出处
《国际金融研究》
CSSCI
北大核心
2005年第10期55-59,共5页
Studies of International Finance
基金
中国博士后科学基金资助(2005037412)
