| 基于SKT-ARFIMA-HYGARCH模型的开放式基金投资风格漂移收益及其波动分形研究 |
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| 引用本文： | 许林,宋光辉,郭文伟.基于SKT-ARFIMA-HYGARCH模型的开放式基金投资风格漂移收益及其波动分形研究[J].统计与信息论坛,2011,26(3):56-62. |
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| 作者姓名： | 许林 宋光辉 郭文伟 |
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| 作者单位： | 华南理工大学,工商管理学院,广东,广州,510640 |
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| 基金项目： | 教育部人文社会科学基金规划项目《基于多重分形理论的基金投资风格漂移风险测度与控制研究》 |
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| 摘 要： | 以往大量文献研究表明基金经常发生风格漂移现象,但资本市场呈分形特征违背了有效市场假说,对传统的实证研究方法提出了巨大挑战。以2005年上半年成立的5只开放式基金为研究样本,利用3个信息准则确定ARFIMA（1,d1,1）-HYGARCH（1,d2,0）为最优模型,引入SKT分布结合该模型来探索研究基金投资风格漂移所带来的收益及波动过程的分形特征。实证结果表明：该模型能够较好刻画投资风格漂移日收益序列的双长记忆性分形特征,其波动过程均存在显著的长记忆性,但收益过程存在长、短记忆性不统一现象,这进一步说明基金投资风格经常发生无序漂移现象,也折射出其背后存在着巨大的漂移风险隐患。最后,Person吻合度检验证实了SKT分布能较好地拟合基金投资风格漂移日收益序列的分布。
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| 关 键 词： | 投资风格漂移 双长记忆性 SKT-ARFIMA-HYGARCH模型 分形 开放式基金 |
A Fractal Research on Return and Volatility of Open-end Funds Investment Style Drift Based on SKT-ARFIMA-HYGARCH Model |
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| XU Lin,SONG Guang-hui,GUO Wen-wei.A Fractal Research on Return and Volatility of Open-end Funds Investment Style Drift Based on SKT-ARFIMA-HYGARCH Model[J].Statistics & Information Tribune,2011,26(3):56-62. |
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| Authors: | XU Lin SONG Guang-hui GUO Wen-wei |
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| Institution: | XU Lin,SONG Guang-hui,GUO Wen-wei(School of Business Administration,South China University of Technology,Guangzhou 510640,China) |
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| Abstract: | Previous studies on fund investment style have shown that: Fund offen occurs style drift,but the fractal characteristics of the capital market was contrary to the efficient market hypothesis,put forward a huge challenge to the traditional empirical methods.This paper used five open-end funds for the research sample,which were founded in 2005.Used the three information criteria to determine ARFIMA(1,d1,1)-HYGARCH(1,d2,0) is the optimal model,Introducted the skt distribution combined with this model to firstl... |
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| Keywords: | investment style drift double long memory SKT-ARFIMA-HYGARCH model fractal open-end fund |
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