ARI-TGARCH-M-GED建模分析微信理财通收益率

ARI-TGARCH-M-GED Model for the Analysis of WeChat Financial Returns

选取2013-12-11至2019-2-1期间的微信理财通七日年化收益率为研究对象,通过ADF检验、白噪声检验和ARCH效应检验,发现微信理财通收益率序列具有非平稳和自相关性,其一阶差分序列是平稳的非白噪声序列,且具有尖峰后尾和条件异方差等特征.基于此选择ARI-TGARCH-M-GED分布对数据进行建模,发现微信理财通收益率序列具有反杠杆效应,同时建立ARI-EGARCH-M-GED模型进一步证实该反杠杆效应的存在,最后分别对政府、互联网理财产品公司、投资者三方给予了相应的规避风险的措施建议.

The seven-day annualized yield of WeChat financial returns from 11 th December of 2013 to 11 th January of 2019 was studied.By ADF test,white noise test and ARCH effect test,it is found that the series is non-stable and auto-correlation,and the first order difference sequence is a smooth,non-white noise sequence which has the characteristics of the rear end of the peak and conditional heteroscedasticity.Based on this,ARI-TGARCH-M-GED distribution was selected to model the data,and the result finds that the return rate sequence of WeChat financial communication has the anti-leverage effect.Meanwhile,the establishment of ARI-EGARCH-M-GED model further explained the existence of the anti-leverage effect.Finally,corresponding suggestions to the government,Internet financial product companies and investors on how to avoid risks were given.