摘要
选取2015年4月1日至2017年3月31日的余额宝万份收益数据作为研究对象,从余额宝收益率的波动性角度出发,建立GARCH模型进行实证研究。通过研究发现,余额宝收益率存在"自相关性""波动集聚性""ARCH效应",不存在"杠杆效应",并且GARCH模型可以很好地刻画余额宝日收益率的波动性。
Chooses the data of Yu-Ebao treasure as the research object from April 1,2015 to March 31,2017,and establishes the GARCH model from the volatility of Yu-Ebao rate.It is found that there exists"autocorrelation""Wave agglomeration""ARCH effect",and there is no"lever effect",and it is found that GARCH model can depict the volatility of the earning rate of the Balance treasure Day well.
出处
《经济研究导刊》
2018年第15期92-94,168,共4页
Economic Research Guide
基金
工业和信息化部软科学研究报告(2013R42)
