Analysis of the Risk of Mutual Fund Using VaR Method——Based on GARCH Model in China

The paper sets up VaR-GARCH and VaR-EGARCH Models for the risk of mutual fund based on the consideration of volatility,distribution and leverage of the return series,and estimates the VaR of mutual fund in China using the proper model under t-distribution and GED-distribution separately.Finally using Kupiec's back-testing we test the veracity of the VaR-GARCH Model.The result shows the VaR estimated using the model under GED-distribution is better than the one estimated using the model under t-distribution in reflecting the risk of mutual fund,and the risks of various mutual fund are different.