The Study On Market Risk Of Open-end Fund Based On Garch-Cvar Modei

In recent years,with the rapid development of china’s financial sector,the funds is also rapidly rising, with its unique advantages and gradually become the largest institutional investors in securities market.open-end funds as a mainstream form of the current fund investments,the market risk of open-end funds is the main risk in the investment process,is one of many investors and theoretical focus of research problems.The open-end fund’s market risk measure as the core of risk management and rike prevention,which directly determines the effectiveness of risk management and prevention.Through the research about the open-end fund market risk measurement,and hopefully we can build our own open-end fund’s risk management system to provide a reference.This paper based on a variety of measurement methods of the open-end fund market for carefully analysis,research and comparison,finally selects the GED distribution under the EGARCH model to calculate the VaR and CVaR values. This article describes the VaR and CVaR model’s basic principles and calculation methods,and select seven funds from three fund companies,data from2005to2011,the use of VaR and CVaR method for our open-end fund market risk measure of the empirical analysis.In this paper,Eciews6.0and Matlab7.0analysis software are used data analysis and processing of samples,the results of empirical analysis obtained: open-end fund return series has a peak and fat tail characteristics,and has significant GARCH effects.GARCH family models are good at fitting the heteroscedasticity of the residuals of the reture series.EGARCH model can be used for more accurate estimates of VaR and CVaR.Based on normal distribution will underestimate the risk,based on t-distribution will overestimate the risk,based on the generalized error distribution(the GED) have more accurate results.In the extreme measure of tail loss, CvaR is superior to VaR.