Could GARCH-VaR method measure mutual fund risk in post-crisis era China effectively

DOI

10.2991/asshm-13.2013.160How to use a DOI?

Keywords

mutual fund; VaR method; GARCH model; t-distribution; GED

Abstract

In order to evaluate mutual fund risk in post-crisis era China, this paper con-structs two VaR-GARCH models, and estimates the VaR of different mutual funds under t-distribution and generalized error distribution(GED) separately. Then by employing Kupiec back-testing meth-od, we test the accuracy of two VaR-GARCH models. It turns out that the VaR model under GED is better than the other one in reflecting mutual fund risk but neither holds the marked back-testing effect.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Benzhao Zhang
AU  - Chi Zhang
PY  - 2013/12
DA  - 2013/12
TI  - Could GARCH-VaR method measure mutual fund risk in post-crisis era China effectively
BT  - Proceedings of the 2013 International Conference on Advances in Social Science, Humanities, and Management
PB  - Atlantis Press
SP  - 860
EP  - 866
SN  - 1951-6851
UR  - https://doi.org/10.2991/asshm-13.2013.160
DO  - 10.2991/asshm-13.2013.160
ID  - Zhang2013/12
ER  -