欢迎来到天天文库
浏览记录
ID:32013216
大小:3.48 MB
页数:59页
时间:2019-01-30
《我国开放式股票型基金业绩评价实证-分析》由会员上传分享,免费在线阅读,更多相关内容在教育资源-天天文库。
1、万方数据AbstractOpen-endedequityfundsarethemaintargetinChina'sfundindustry,therefore,empiricalanalysisresultsCandescribethecurrentmainlysituationofChina’Sfundindustry,ontheotherhandcallroughlypredicttheindustrytrend,whichcallprovidequantitativebasisfordecision—makingforinve
2、stors,servicepersonnelorregulators.Firstlythispaperanalysistherateofreturn,volatility,autocorrelation,symmetryofChina'sopen-endfundindex,drawtheconclusionthatARMA(1,1)一GARCH(1,1)modelcanbeusedtodescribeitscharacteristics.Intheempiricalanalysisprocess,thispapertestingofC
3、hina'sfundindexdatabasedonthetheoryofforeignEACFmodelforempirical,provesthatthetheory啪alsobeappliedinChinesefundindustry.Secondly,Theexistingliteraturesmainlyfocusonincompletesamplesorone—sidedindexes.Thispaperanalysis125open-endequityfundperformancebasedonthetraditiona
4、lCAPM.Intheanalysisofperformancepersistence,non-parametricmethods:performancedichotomyischosentomeettheactualsituationofChina’Sfundindustry.Lastly,thispapersummaryandanalysistheopen—endfundmarketonthebasisoftheanalyticalresults,aimingattheexistingproblemsofthefundindust
5、ryinourcountryandputforwardrelatedopinionsandsuggestions.ThispaperusesRasmodelinganalysissofhIcare,theprogrammingstatementsarelistedintheappendixofthispaper,whichdescribestheproblemsindetailwhichtheauthorencounteredintheempiricalprocess,andsolutionstothecorrespondingsta
6、tement,hopingthefuturescholarsCanusethecourseofthestudyasreferenceinordertoavoidsimilarproblems.Keywords:Open·-endedequityfundsARMA-·GARCHmodelCAPMRIV万方数据23目录序论⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.】1.1研究的背景和意义⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯一l1.2国内外相关计量模型的研究现状⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯..
7、41.2.1ARMA.GARCH模型的研究现状⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯41.2.2CAPM的研究现状⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯41.3本文的研究思路⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯~71.4本文的结构安排和创新⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯一81.4.1本文的结构安排⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯81.4.2本文的创新⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.9相关理论和方法介绍⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯102.1基金整体拟合模型的方法⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯
8、⋯⋯⋯102.1.1平稳性检验⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.102.1.2ARMA模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯l02.1.3ARCH模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯11
此文档下载收益归作者所有