摘要
利用EGARCH模型分析了各类对冲基金指数对于利好消息和利空消息的反应是否具有对称性，模型显示非对称性是显著的，但是也出现了某些对冲基金利空消息减小指数波动的效果，具体原因还需要进一步的分析。
The paper makes use of EGARCH model to analyze hedge fund index, to prove whether the good news and bad news have Symmetrical impulse on the hedge fund index revenue, the result demonstrates Asymmetric Effect is notable. However ＂bad news＂ decreases fluctuation of hedge fund index in some cases, which suggests that further analysis be needed.
出处
《新乡学院学报》
2008年第3期9-13,共5页
Journal of Xinxiang University
