VaR视角下基金系宝类产品与非宝类货基比较的实证分析

Empirical Analysis on Payment Funds and Common Monetary Funds Based on VaR

自2013年余额宝推出后,基金公司也推出基金系宝类产品。通过选取规模靠前的8家基金公司的一只宝类产品与一只非基金系宝类产品进行比较。并选取样本基金2016年4季度至2017年3季度末相关数据,通过构建GARCH模型,计算比较样本基金的在险价值(VaR值),发现基金系宝类产品的收益波动风险要小于非宝类货基。

Since the introduction of Yu’e bao in 2013,fund managing companies also launched payment funds.This paper selects out of 8 fund managing companies one payment fund and one common monetary fund for comparison during the period from October 2016 to September 2017.Empirical studies revealed payment funds have less VaR by constructing GARCH models.