Volatility Comparison among Certain Chinese Open-end Funds

摘要：

GARCH model and EGARCH-M model are used to analyze volatility characteristics of Chinese open-end funds, and from microcosmic viewpoint the roots result in the variance of volatility characteristics among different funds are revealed through comparing and analyzing the volatility characteristics of six open-end funds in this paper. The research conclusions can provide scientific basis for instituting correlative policies about Chinese open-end funds.

关键词： open-end fund volatility GARCH model

作者: Yang Naiding Dong Tieniu Guo Xiao Jiang Jijiao

作者单位: School of Management Northwestern Polytechnical University Xian, P. R. China

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）