Empirical Analysis of Chinese Open-ended Funds Liquidity Risk
In order to measure the open-ended funds liquidity risk accurately, the method of non-liquidity and VaR are used in this paper. We measure the liquidity risk of open-ended fund with non-liquidity indicators, fitting these non-liquidity indicators of sample funds with GARCH model under normal distribution, t-distribution and generalized error distribution (GED), then put the fitting parameters into the method of VaR to calculate the value of sample funds liquidity risk. Empirical results show that: the liquidity indicators of open-ended fund have the characterstics of conditional heteroscedasticity, excess kurtosis and fat tail, which get the maximum reflection in GARCH model;The VaR value caculated from generalized error distribution comparing with other different distributions is optimal for its truly reflecting the liquidity risk of open-ended funds. The non-liquidity indicators and the method of VaR based on GARCH model measuring the open-ended funds liquidity risk synthetically and completely solve the measurement problem of open-ended fund liquidity risk.
open-ended funds liquidity risk VaR-GARCH model
Xiaofeng Zhang Xiaohua Zhong
School of Economics & Management, Changsha University of Science &Technology, Changsha, 410004, China
国际会议
北京
英文
431-434
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）