Study on VaR of Open-ended Fund based on GJR-ALaplace Model
Du Zi · Technoeconomics & Management Research · 2011
The paper introduces the Asymmetric Laplace distribution to discrible and fit the return series accaccording to the characteristic of sharp kurtosis,heavy tails,skew-ness and time-varying volatility of the return series of China's Open-ended.And sets up the GJR-Asymmetric-Laplace model to estimates the dynamic VaR of the funds under the assume of Asymmetric Laplace distribution,Laplace distribution and Normal distribution,and makes the back-testing.The empirical reseach selected 12 Open-ended funds' accumulative net value in the period 2007.01.04~2009.12.31.The result shows: The remaining 11 funds pass the assuming significantly except for the DaCheng Bonds,accord to the Asymmetric Laplace distribution.It means the Asymmetric Laplace distribution can fit the characteristic of the return series better compare to the Laplace distribution and the Normal distribution.And the quantity of the funds which the VaR pass the back-testing based on the Normal distribution less then the Laplace distribution,also the quantity of the funds which the VaR pass the back-testing based on the Asymmetric Laplace distribution.It shows that measure of VaR using the model under the assume of Asymmetric Laplace distribution are more valid.