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中国管理科学

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基于SKT-ARFIMA-HYGARCH-VaR模型的股票型基金投资风格漂移风险测度研究

许林1, 宋光辉2, 郭文伟3   

  1. 1. 华南理工大学经济与贸易学院, 广东 广州 510006;
    2. 华南理工大学工商管理学院, 广东 广州 510640;
    3. 广东商学院金融学院, 广东 广州 510320
  • 收稿日期:2010-09-27 修回日期:2011-05-04 出版日期:2011-10-30 发布日期:2011-10-30
  • 作者简介:许林(1984- ),男(汉族),江西上饶人,华南理工大学经济与贸易金融系讲师,博士,研究方向:数量经济学、基金投资与分形市场
  • 基金资助:
    教育部人文社科基金2010年度规划项目(10YJA630131)

A Research on Investment Style Drift Risk Measure of Stock Funds Based on SKT-ARFIMA-HYGARCH-VaR Model

XU Lin1, SONG Guang-hui2, GUO Wen-wei3   

  1. 1. School of Economics and Commerce, South China Vniversity of Technology, Guangdong 510006, China;
    2. School of Business Administration, South China University of Technology, Guangzhou 510640, China;
    3. Finance Department, Guangdong Vniversity of Business Studies, Guangzhou 510640, China
  • Received:2010-09-27 Revised:2011-05-04 Online:2011-10-30 Published:2011-10-30

PDF (PC)

2145

被引次数

21

摘要： 投资风格漂移是把双刃剑,基金在获取短期超额收益的同时,其背后也折射出巨大的漂移风险。本文以2004年成立的8只开放式股票型基金为研究样本,在量化基金投资风格漂移收益及分析其序列呈尖峰、厚尾与有偏特征的基础上,通过引入skt分布来刻画新生变量的分布,构建ARFIMA-HYGARCH-VaR模型来测度基金投资风格漂移风险值,并与skt分布下的RiskMetrics及GARCH族等5种VaR模型的风险测度能力做了比较实证分析,同时对各种VaR模型进行失败频率回测检验与动态分位数测试。研究结果表明:在不同显著性水平下,skt分布下的各种模型基本都有较好的风险测度能力,但ARFIMA-HYGARCH模型的VaR风险测度更加精确与稳定;Person吻合度检验也证实了skt分布能较好刻画投资风格漂移日收益序列的分布。本研究为控制较严重的投资风格漂移及规范基金产品创新设计与发行无疑具有重要的理论价值与现实意义。

关键词: 基金投资风格, 投资风格漂移, 风格漂移风险, SKT-ARFIMA-HYGARCH-VaR模型, 模型回测检验

Abstract: Fund investment style drift is a double-edged sword,in obtaining short-term excess returns,while also reflects the enormous drift risk.This paper chooses 8 open-end stock funds for the research sample founded in 2004,introduces skewed-t distribution to decipt new variables based on the peaks and heavy tails characters of fund investment style drift return series,adopt ARFIMA-HYGARCH-VaR model to measure fund investment style drift risk value,and with 5kinds of the Risk Metrics and GARCH family models to comparative analysis the VaR risk measures accuracy under skt distribution,and make fails backtest and dynamic quantile test for various VaR risk measure models,research results show that: In the different confidence level,the VaR value is more accurate based on ARFIMA-HYGARCH model;P erson goodness of fit test confirmes skt distribution can be well fitted for investment style drift return series.The conclusion of this study is undoubtedly of great theoretical and practical significance for controlling the investment style drift and standarding the fund products innovation and distribution.

Key words: fund investment style, investment style drift, style drift risk, SKT-HYGARCH-VaR model, model backtesting

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