The Empirical Study on the Market Volatility of Chinese Open-end Funds Based on GARCH Model


  •  Wei Shen    

Abstract

In this article, we investigated the volatility of Chinese open-end funds market by using Zhongxin open-end funds index. According to the characteristics of different GARCH models, we empirically studied GARCH, EGARCH and GARCH_M model. The result indicated that GARCH (1, 1) model and GARCH_M (1, 1) model could better fit the characteristics of the index return rate. At the same time, the result of empirical study showed that the volatility-clustering and conditional heteroscedasticity of the return sequence of open-end funds were significant, open-end funds market in China had a strong motive of speculation, exterior impact had sustainable influences to the market fluctuation, the volatility of fund market was notable asymmetry, and the return of fund had obvious risk premium effect.


This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1833-3850
  • ISSN(Online): 1833-8119
  • Started: 2006
  • Frequency: bimonthly

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