我国互联网金融货币基金收益波动性分析

Analysis of Earnings Volatility of Chinese Internet Financial Monetary Fund

对我国互联网金融货币基金进行研究,选取32家货币基金进行波动性分析。使用货币基金规模计算不同货币基金的权重,得出货币基金的整体收益率。研究发现我国互联网货币基金的整体收益率在2014-2016年度整体呈现下降趋势。ARMA(1,1)-GARCH(1,1)、ARMA-TGARCH(1,1)、ARMA-EGARCH(1,1)能够很好地解释货币基金波动率的特征,计算结果表明货币基金收益率波动性存在非对称效应。

This paper selectis the 32 monetary funds for volatility analysis,and ues the size of the Monetary Fund to calculate the weight of the different monetary funds and derive the overall rate of return of the IMF.The study found that the overall yield of Chinese Internet Monetary Fund in 2014 to 2016 overall showed a downward trend.ARMA（1,1）-GARCH（1,1）,ARMA-TGARCH（1,1）,ARMA-EGARCH（1,1） can explain the characteristics of the volatility of the IMF.The calculation results show that in the monetary fund yield there is an asymmetric effect in volatility.