Could GARCH-VaR method measure mutual fund risk in post-crisis era China effectively
Authors
Benzhao Zhang, Chi Zhang
Corresponding Author
Benzhao Zhang
Available Online December 2013.
- 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/).
Cite this article
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 -