A Study On The Volatility Of China 's Open - End Fund

Since 2001, the open-end funds appeared in China, have been popular with people.Although only a dozen years of time, developed to the present moment, the open-end funds have found the important status in Chinese fund market. Due to the distinct characteristics, such as the operating mechanism more scientific, the open-end funds are especially popular with smaller investors around the world. However, the current Chinese Open-end Fund market is still relatively big fluctuations. On this account, based on the financial time series analysis theory in this period by software tools Eviews6.0, we respectively analyzes the daily cumulative net value date of ‘Cathay Golden Eagle Growth’ stock type open-end fund during May 8. 2002 to March 14. 2014, which includes2866 trading days, and the daily cumulative net value date of ‘Hua’xia Growth’ mixed type open-end fund during December 28. 2001 to March 14. 2014, which includes 2954 trading days. We found that the return sequences don’t obey the normal distribution,show up the phenomenon of ‘high kurtosis and fat tail’ and its residual sequences generate significant volatility. Therefore, we use ARMA-GARCH model, ARMA-EGARCH model and ARMA-GJR model to modeling this return sequences, and research the fluctuation characteristics of returns. The empirical results shown that the stock type open-end fund has anti-leverage effect, the mixed type open-end fund has leverage effect, the fluctuation of return sequences is asymmetry, and asymmetric conditional heteroskedasticity model could better depict the characteristics of Chinese Open-end Funds’ return sequences.Investors more clearly know the volatility characteristics of Chinese Open-end Funds’ returns by this research, and it is help for the smaller investors more effectively reduce the investment risk.