DocumentCode
1877722
Title
Empirical Research Based on the VaR Model in Risk Measurement of Stock Fund
Author
Wen Xianming ; Tan Ye ; Xiong Ying
Author_Institution
Sch. of Econ. & Manage., Changsha Univ. of Sci. & Technol., Changsha, China
fYear
2010
fDate
10-12 Dec. 2010
Firstpage
1
Lastpage
5
Abstract
Open-end funds and Closed-end funds are two different operating mode for the fund. In this paper, it calculate the risk of the stock fund and compare the average VaR between the Open-end funds and Closed-end funds. As the Fund\´s day yield is non-normal state of "spike-thick tail" of the distribution characteristics, we use GARCH models to calculate the value of the fund\´s VaR. Empirical results showed that the VaR value of open-end funds and closed-end funds is different.
Keywords
autoregressive processes; investment; risk management; GARCH models; closed-end funds; open-end funds; stock fund risk measurement; value-at-risk model; Analytical models; Biological system modeling; Correlation; Equations; Mathematical model; Portfolios; Risk management;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Intelligence and Software Engineering (CiSE), 2010 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-5391-7
Electronic_ISBN
978-1-4244-5392-4
Type
conf
DOI
10.1109/CISE.2010.5677066
Filename
5677066
Link To Document