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Risk Measurement and Performance Evaluation of Equity Funds Based on ARMA-GARCH Family Model
2020
Open Journal of Statistics
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There are few comprehensive studies on risk measurement and performance evaluation of stock funds in China. This paper uses the ARMA-GARCH family model to analyze the volatility characteristics of equity funds under the t-distribution and Generalized error distribution (GED), and combines CVaR, PM (Second revised sharp ratio) and CVaR-RAROC (Revised RAROC) to comprehensively evaluate equity funds risk and performance. The empirical analysis of five equity funds in China from October 28, 2010 to
doi:10.4236/ojs.2020.102022
fatcat:46ui3shkfre2bgpvourw2r6eym