Title :
Volatility Comparison Among Certain Chinese Open-End Funds
Author :
Yang Naiding ; Dong Tieniu ; Guo Xiao ; Jiang Jijiao
Author_Institution :
Sch. of Manage., Northwestern Polytech. Univ., Xian
Abstract :
GARCH model and EGARCH-M model are used to analyze volatility characteristics of Chinese open-end funds, and from microcosmic viewpoint the roots result in the variance of volatility characteristics among different funds are revealed through comparing and analyzing the volatility characteristics of six open-end funds in this paper. The research conclusions can provide scientific basis for instituting correlative policies about Chinese open-end funds.
Keywords :
autoregressive processes; financial management; investment; Chinese open-end funds; EGARCH-M model; GARCH model; duopoly; investment decision; volatility comparison; Analysis of variance; Costs; Electronic mail; Equations; Finance; Financial management; Fluctuations; Optimization methods; Risk management; Stock markets;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-1311-9
DOI :
10.1109/WICOM.2007.1009
