The Study Of China's Open-end Fund Market Volatility By GARCH Models

In the thesis, the methods of volatility research on open-end fund market are introduced firstly and GARCH models are well discussed. Then, it investigates the volatility of Chinese open-end fund market by using Zhongxin open-end fund index. According to the characteristic of different GARCH models, GARCH, EGARCH and GARCH_M model are used to carry on the empirical study. According to the empirical study, the main results are as follows: The volatility-clustering and conditional heteroskedasticity relation are significant. Open-end fund market in China has a strong motive of speculation. Outside shocks can bring about long-term impact on the market fluctuation. The volatility of fund market has not a characteristic of non-symmetry. The return of fund has obvious risk premium effect. Finally it analyzes the question and corresponding measure during the development of China's open-end fund market based on the results of empirical study.