论文部分内容阅读
基于开放式基金指数周收益率时间序列的非正态性和厚尾特性,以中证开放式基金指数为例,运用EGARCH模型进行研究,系统地分析我国不同类型的开放式基金指数的波动是否存在非对称性.实证分析结果并没有得出“利空”的作用大于“利好”的作用的非对称性的结论,从中证开放式基金指数的信息影响曲线可以看出我国基金经理们追涨比杀跌更疯狂.
Based on the non-normality and fat-tail characteristics of time series of weekly returns of open-end fund index, this paper takes the CSI Open-end Fund Index as an example and uses EGARCH model to conduct a systematic analysis of whether the volatility of different types of open-end fund indices in China There is asymmetry.The results of empirical analysis did not come to “negative ” effect is greater than “positive ” effect of the asymmetry of the conclusion, from the CSI Open-end Fund index information impact curve can be seen in our fund managers They chase more crazy than sell into.