本文選題：開放式基金 + VaR理論��； 參考：《合肥工業(yè)大學》2014年碩士論文

【摘要】：近年來，伴隨著經濟全球化和金融一體化的進程，中國的金融市場取得了前所未有的發(fā)展，金融風險也呈現加劇現象。開放式基金作為一種專家管理的集合投資方式，已成為我國證券市場的主要參與者。如何度量其風險，已成為金融監(jiān)管機構與基金持有者共同關心的問題。因此，研究開放式基金市場風險具有重要的理論和實踐意義。 本文針對后危機時期我國開放式基金市場，應用基于VaR理論的GARCH模型對我國開放式基金風險進行了實證研究。論文選取十五只基金的日收益凈值數據，使用Eviews7.0計量分析軟件對這十五只開放式基金時間收益序列進行綜合分析，得出各自收益率分布情況，并利用ARCH-LM檢驗時間序列存在異方差、波動聚集性等特征。隨后以單只基金為例選擇合適的模型，再利用此模型在t分布和GED分布的假設下，建立了估計基金風險的VaR-GARCH模型，，對各只基金及不同類型基金的VaR值進行估計。最后在95%和99%置信水平下，運用Kupiec方法對VaR模型的準確性進行了返回檢驗。得出如下主要結論: t分布可以刻畫基金收益率序列的尖峰厚尾特征，但是t分布的尾部較厚，根據GARCH(1,1)-t分布模型計算VaR值會高估真實的風險，根據GARCH(1,1)-GED分布模型計算的VaR值能較真實的反映基金風險；95%置信水平下，GARCH-t模型存在高估風險，而GARCH-GED模型存在低估風險；99%置信水平下，GARCH-t模型和GARCH-GED均存在高估風險。最后，基于實證研究的啟示，結合我國開放式基金風險管理的現狀，提出了相應的政策建議。
[Abstract]:In recent years, with the process of economic globalization and financial integration, China's financial market has achieved unprecedented development and financial risks are becoming more and more serious. As an expert management, the open fund has become the main participant in the securities market. How to measure its risk has become a financial supervision. Therefore, it is of great theoretical and practical significance to study the market risk of open-end funds.
In view of the open end fund market of China in the post crisis period, this paper uses the GARCH model based on VaR theory to carry out an empirical study on the risk of open-end fund in China. The paper selects the net daily income data of fifteen funds, and uses the Eviews7.0 econometric analysis software to comprehensively analyze the time income sequence of the fifteen open-end funds. The ARCH-LM test time series has the characteristics of heteroscedasticity and volatility aggregation. Then a single fund is used as an example to choose a suitable model. Under the assumption of t distribution and GED distribution, a VaR-GARCH model for estimating fund risk is established, and the VaR value of funds and different types of funds is also established. At the end of the 95% and 99% confidence levels, the accuracy of the VaR model is tested by the Kupiec method. The main conclusions are as follows: the t distribution can depict the peak and thick tail characteristics of the fund yield sequence, but the tail of the t distribution is thicker, and the GARCH (1,1) -t distribution model can overestimate the real risk, root, and the root of the GARCH (1,1) -t distribution model. According to the GARCH (1,1) -GED distribution model, the VaR value can reflect the risk of the fund more truly; under 95% confidence level, the GARCH-t model overestimates the risk, and the GARCH-GED model underestimates the risk; under the 99% confidence level, the GARCH-t model and GARCH-GED are all overestimated risk. Finally, the Revelation based on the empirical study, combined with our open-end fund The present situation of risk management puts forward corresponding policy recommendations.

【學位授予單位】：合肥工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1799478