基于ARIMA模型对余额宝收益的分析

Analysis on the Yu’ebao Gains Based on ARIMA Model

基于互联网支撑的第三方支付平台——“余额宝”,作为互联网金融线上融资模式的先行者,得到了强烈的市场反响,进一步加快了互联网对金融市场的重构步伐,也对商业银行造成了一定的冲击。然而,余额宝作为货币性基金,其收益率是否能一直稳定在较高的收益水平,具有非常大的不确定性。对余额宝的未来收益做出预测,有利于各个市场参与方做出正确的行动决策。本文以2015年5月1日至2017年4月30日余额宝的每万份收益数据序列为基础,建立ARIMA模型,由于余额宝历史净值七日平均收益变化率序列存在集群效应,因此建立GARCH模型分析。运用R软件对余额宝收益进行分析,并对未来收益的短期走势进行预测。

It is well known, Yu’ebao receives extensive attention of the social public, which is based on the third party payment platform supported by Internet. And it had a profound impact for the classical business bank. There are many uncertainties for Yu’ebao as a monetary fund being stable at a higher yield level. Therefore, researches upon the returns and prediction of Yu’ebao are of significance. It is helpful for market participants to make right decisions. The paper establishes ARIMA model based on the Yu’ebao data of May 1, 2015 to April 30, 2017. It also establishes the GARCH model due to the cluster effect of Yuebao’ historical change rate of per seven day’s net profit. So it uses R software to analyze Yu’ebao gains, and to predict the short-term movements of future earnings.