Main Article Content
In order to study the asymmetric effect of the tiered fund returns, the GARCH family model is introduced to improve the volatility and Monte Carlo simulation is used to price it. First, select China International Finance Shanghai 50 Index (stock funds) and E Fund Juying Index (bond funds) classified fund of funds as the research objects, and use the trading days between the two conversion days as the sample period, and then the GARCH family model fitting Volatility; finally pricing it with Monte Carlo simulation taking into account asymmetric effects. The results show that: asymmetry exists in the return rates of E Fund Juying Index and China International Finance SSE 50 Index Fund of Funds. Both E Fund Juying Index Fund of Funds and China International Financial SSE 50 Index Fund of Funds have more obvious response to the good news, and after considering the asymmetric effect of the rate of return, a better pricing effect is obtained.