我國(guó)開放式基金流動(dòng)性風(fēng)險(xiǎn)的實(shí)證研究

鐘曉華　張?bào)惴?/p>

摘 要：本文選取12只開放式基金為樣本，運(yùn)用非流動(dòng)性指標(biāo)來(lái)度量開放式基金的流動(dòng)性風(fēng)險(xiǎn)，并采用VaR-GARCH模型對(duì)中國(guó)開放式基金的流動(dòng)性風(fēng)險(xiǎn)進(jìn)行實(shí)證分析。實(shí)證結(jié)果表明：開放式基金的流動(dòng)性指標(biāo)存在異方差性和尖峰厚尾性；在不同分布得出的VaR值中，根據(jù)GARCH-GED模型來(lái)計(jì)算VaR是最優(yōu)的，能比較真實(shí)地反映基金的流動(dòng)性風(fēng)險(xiǎn)。

Abstract:This article selects 12 open-end funds is a sample, utilizes the non-fluid target to measure the open-end fund the fluid risk, and uses the model to carry on the empirical analysis to the Chinese open-end fund fluid risk. The real diagnosis result indicated: Open-end fund fluid target existence heteroscedasticity and peak thick tail; In the different distribution obtains in the value, calculates according to the model is most superior, can reflect the fund quite really the fluid risk.

關(guān)鍵詞：開放式基金 流動(dòng)性風(fēng)險(xiǎn) VaR-GARCH模型

Key words:Open-end fund fluid risk Model

作者簡(jiǎn)介：鐘曉華(1983--),女,湖南岳陽(yáng)人,長(zhǎng)沙理工大學(xué)經(jīng)濟(jì)與管理學(xué)碩士研究生。主要從事金融工程方面的研究。

【中圖分類號(hào)】F830.9 【文獻(xiàn)標(biāo)識(shí)碼】A 【文章編號(hào)】1004-7069（2009）-06-0043-03