Open-end Fund Risk Of Var-garch Model Study

In 1924, the world's first open-end funds-Massachusetts Investment Trust issued in Boston.so far, it has been more than 80 years, it has become an important investment tool. In 2001 the first open-end fund issued in China. In recent years Open-end funds have become an investment tool., how to effectively avoid and predict the risk of open-end funds have become an concerned Object. Many experts and scholars have done a lot Examinationin on this subject. China Securities Regulatory Commission to make a formal approval, agreed that China Financial Futures Exchange, Shanghai and Shenzhen 300 stock index futures market contracts, and formal announcement of the Shanghai and Shenzhen 300 stock index futures contract will begin on April 16 officially listed for trading, This was the formal launch of stock index futures such financial instruments, will drive China's stock market risk aversion towards better development, and successfully grow and develop.1. We study the Risk of open-end fund from their's volatility of Yield.research.It choose the net value of 15 stocks open-end fund firstly, the time interval from the issue date of each Fund to March 12,2010. To study the logarithmic rate of return on the time series, and analyze that with EVIEWS3.1 for the features of the distribution,for example partial autocorrelation, asymmetry, a fat tail, volatility clustering and so on. From the results that the distribution of the selected sample funds do not meet the normal distribution assumption, so it choose the possible Model T and GED distribution assumption which can describe the feature of fat tails better.To choose the GARCH and E-GARCH models for the data Time Series fitting, and to take the ARCH-LM test, the test results showed that all model results which based on T distribution assumption of the GARCH (1,1), E-GARCH (1,1)and based on the GED distribution assumption of the E-GARCH (1,1), are effectively eliminated the heteroscedasticity. Follow to standard of AIC, SC criteria, to select the GARCH (1,1)-T and EGARCH (1,1)-GED model to fitting this two each time series. With EVIEWS3.1To estimate the parameter values of the open-end funds in different model,to take the parameter values into the formula for the values of the variance, To Extract a root of that calculation, for the standard deviation, also calculated using MATLAP the corresponding quantile, respectively, are substituted into the formula for calculating VAR, find the sequence of value at risk (VAR value). After the accuracy of the VAR to test, this test used in the failure of failure frequency test to test the accuracy of the model.