วิเคราะห์อัตราผลตอบแทนและความเสี่ยงกองทุนรวมหุ้นระยะยาวของบริษัทหลักทรัพย์จัดการกองทุนกสิกรไทย โดยใช้แบบจำลองการ์ซ

Abstract

This study aimed at analyzing the rate of return and the risk of Long Term Equity Fund of Kasikorn Asset Management Co.,Ltd. by using GARCH model. Second, to evaluate the value at Risk of Long Term Equity Fund of Kasikorn Asset Management Co.,Ltd. by using secondary data which were Net Asset Value and Value at Risk of Long Term Equity Fund of Kasikorn Asset Management Co.,Ltd., which included 6 funds as weekly data. Data were collected from the first week of January 2010 to the last week of December 2014 by using the calculation of the rate of return method from Long Term Equity Fund, the calculation of the Value at Risk and for modelling the ARIMA with GARCH-M to find the best suitable model. The findings show that the average rate of return of Long Term Equity Fund from the data used of 6 funds showed that the mutual fund of KEQLTF had the highest average rate of return at 0.33% per year while the mutual fund of KSDLTF had the lowest average rate of return at 0.01% per year. The findings of the Value at Risk of the mutual fund, by using Delta Normal Method or Variance-Convariance, showed that the mutual fund of KGLTF had the highest risk of the Value at Risk at 11.94 baht, 14.18 baht and 18.67 baht per 10,000 baht of the investment for a year investment period respectively. For the mutual fund of KSDLTF, had the lowest risk of the Value at Risk at 1.04 baht, 1.23 baht and 1.62 baht per 10,000 baht of the investment and for a year investment period respectively.