| 基于GARCH-VaR模型的互联网货币基金风险分析 |
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| 引用本文： | 罗频宇.基于GARCH-VaR模型的互联网货币基金风险分析[J].长春金融高等专科学校学报,2021(1):48-59. |
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| 作者姓名： | 罗频宇 |
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| 作者单位： | 兰州财经大学长青学院 财金系,甘肃 兰州 730020;甘肃省小微企业创新与发展重点实验室,甘肃 兰州 730020 |
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| 基金项目： | 2020年兰州财经大学长青学院教学研究项目 |
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| 摘 要： | 2013年,以余额宝为首的互联网货币基金产品诞生,它们以互联网为依附,以其独特的营销平台、便利的交易方式、高流动性吸引了大量的客户。目前加入到这个行列中的有支付宝、网易、苏宁、腾讯、百度、京东等公司。互联网货币基金的发展对传统基金行业以至整个金融业都产生了深刻的影响,基于此,对互联网货币基金的发展现状、运作机制以及风险进行分析尤为重要。通过数据统计性检验和ARCH效应检验进行实证分析,能够更有效地分析风险,帮助投资者了解互联网货币基金产品,以便于更好地进行投资。
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| 关 键 词： | 互联网货币基金 基金风险 GARCH模型 |
Risk Analysis of Internet Monetary Fund Based on GARCH-VaR Model |
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| LUO Pin-yu.Risk Analysis of Internet Monetary Fund Based on GARCH-VaR Model[J].Journal of Changchun Finance College,2021(1):48-59. |
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| Authors: | LUO Pin-yu |
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| Institution: | (Department of Finance,Changqing College of Lanzhou University of Finance and Economics,Lanzhou 730020,China;Key Laboratory of Innovation and Development of Small and Micro Enterprises in Gansu Province,Lanzhou 730020,China) |
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| Abstract: | In 2013,the internet monetary fund products led by Yu'E Bao were born.They rely on the internet and attract a large number of customers with their unique marketing platform,convenient trading mode and high liquidity.At present,Alipay,NetEase,Suning,Tencent,Baidu,Jingdong and other companies have joined the ranks.The development of internet monetary fund has a profound impact on the traditional fund industry and even the whole financial industry.Based on this,it is particularly important to analyze the development status,operation mechanism and risk of internet monetary fund.Through the empirical analysis of data statistical test and ARCH effect test,we can analyze the risk more effectively,help investors understand the internet monetary fund products,and make better investment. |
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| Keywords: | internet monetary fund fund risk GARCH model |
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