Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/39395
Title: วิเคราะห์อัตราผลตอบแทนและความเสี่ยงกองทุนรวมหุ้นระยะยาวของบริษัทหลักทรัพย์จัดการกองทุนกสิกรไทย โดยใช้แบบจำลองการ์ซ
Other Titles: Analysis of Returns and Risk Long-term Equity Fund of Kasikornsecurities by GRACH Model
Authors: ผศ.ดร.ชัยวัฒน์ นิ่มอนุสสรณ์กุล
ผศ.ดร.กัญญ์สุดา นิ่มอนุสสรณ์กุล
ฐิติพงศ์ ภาพติ๊บ
Issue Date: Dec-2558
Publisher: เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่
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.
URI: http://repository.cmu.ac.th/handle/6653943832/39395
Appears in Collections:ECON: Independent Study (IS)

Files in This Item:
File Description SizeFormat 
2Abstract.docxAbstract (words)188.55 kBMicrosoft Word XMLView/Open    Request a copy
ABSTRACT.pdfAbstract 260.81 kBAdobe PDFView/Open
full.pdfFull IS3.1 MBAdobe PDFView/Open    Request a copy


Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.