基于GARCH-VaR模型的开放式股票型基金风险度量研究  

Research on Risk Measurement of Open-End Equity Funds Based on GARCH-VaR Model

作　　者：徐峻 

机构地区：[1]上海理工大学管理学院,上海

出　　处：《运筹与模糊学》2023年第6期7565-7577,共13页Operations Research and Fuzziology

摘　　要：经济环境不景气的背景下,金融市场动荡不断。为了研究金融资产价格波动的规律性,本文以我国开放式股票型基金利用GARCH-VaR模型来对其风险进行度量,通过模型计算得到基金的预测值,并对比基金的真实历史数据来表现模型的准确性。发现该模型能够较好的反应基金的价格波动,样本中除了一只无法构建的GARCH模型的基金,其余基金均能够达到90%的成功率,并且超过半数能达到95%的成功率。Against the backdrop of a sluggish economic environment, the financial market is constantly in turmoil. In order to study the regularity of financial asset price fluctuations, this article uses the GARCH-VaR model to measure the risk of open-end equity funds in China. The predicted values of the funds are calculated through the model, and the accuracy of the model is demonstrated by comparing the actual historical data of the funds. It was found that the model can better reflect the price fluctuations of funds. Except for one fund that cannot construct the GARCH model in the sample, all other funds can achieve a success rate of 90%, and more than half can achieve a success rate of 95%.

关 键 词：GARCH-VAR模型 开放式股票型基金 风险度量 

分 类 号：F83[经济管理—金融学]