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本文运用GARCH模型对开放式基金及其业绩比较基准指教的波动性进行比较分析,研究表明开放式基金收益率的条件方差受近期的收益偏差影响要明显地大于业绩比较基准指数,而受历史业绩波动性的影响程度比业绩比较基准指数要小一些。这说明我国开放式基金的业绩波动除了受市场因素影响之外,还有来自投资者的短期非理性投资行为的压力。
This paper uses GARCH model to compare and analyze the volatility of open-end funds and their performance benchmarking. The research shows that the conditional variance of the return rate of open-end funds is significantly affected by the recent earnings deviations than the performance benchmark and is affected by historical performance The impact of volatility is lower than the benchmark for performance. This shows that the performance fluctuations of China’s open-end funds in addition to being subject to market factors, there are investors from the pressure of short-term irrational investment behavior.