开放式基金收益的EGARCH模型及其非对称性研究

通过对极少被研究的中国股票型、债券型和混合型开放式基金收益率的波动性进行了GARCH和EGARCH模型分析，结果表明：大部分基金存在非对称效应，并且由于基金条件波动序列的非平稳性，信息冲击曲线具有多样化特征，这为非平稳非线性模型的研究提供了新的方向；通过构建基金类型指数，对开放式基金整体波动性的研究发现，中国开放式基金收益率的波动存在ARCH效应，但不具有非对称性效应。

GARCH Model and the Asymmetrical Effect of Mutual Fund Return

Presently most research on GARCH model group concentrates more on the stock market than on the investment fund market. Because the fluctuation research of the fund returns is helpful to the fund investment and the management, we taking advantage of GARCH and EGARCH models to analyze the fluctuation characteristics of the returns among both single and different types of the open - end funds which are not usually studied as a whole in China. It is proved that the returns of most funds tend to have asymmetrical effect. The non - stability of the fund condition fluctuation sequence and diverse characteristics of the informationimpact curve provide a new direction for the models having the non - stability and the non - linear feature. However the results also show that as a whole the returns of the open - end funds have the ARCH effect, but they do not have the non - symmetrical effect, that is also our original opinion.