The Performance of Portfolio Insurance based on GARCH Model Predicting Volatility

The accuracy of volatilities will affect the distribution of OBPI stratige between risk assets and risk-free asset; hence will affect performance of OBPI. Volatilities are predictived by GARCH model in this paper. This would catch the characteristic of volatility and more accurately to estiamte performance of OBPI. The paper explores the performances of portfolio insurance based on China security market through Block Bootstrap, and shows the perfornance of portfolio insurance prior to noninsurance portfolio such as CM and B&H, and of OBPI' perfornance prior to CPPI'. The paper also shows fixed volatilities in OBPI strategy will overestimate the performance.