京东小金库收益波动率的GARCH类模型构建  

Construction of GARCH-type Model for Jingdong Small Treasury's Return Volatility

作　　者：徐燕 XU Yan(School of Applied Mathematics,Nanjing University of Finance and Economics,Nanjing 210046,China)

机构地区：[1]南京财经大学应用数学学院,南京210046

出　　处：《重庆工商大学学报（自然科学版）》2020年第6期88-94,共7页Journal of Chongqing Technology and Business University:Natural Science Edition

摘　　要：鉴于互联网金融对经济发展起着越来越重要的作用,针对收益波动率的分析已成为当下热点话题,提出基于互联网理财产品收益波动率的研究。首先选取京东小金库(嘉实)七日年化收益率作为研究对象;其次运用ADF检验、自相关性检验等方法仔细分析数据特征,得出收益率具有非平稳性、自相关性、尖峰厚尾、波动集聚性、异方差性等特征;最后基于数据特征分析结果对收益率构建了基于GED分布的TGARCH(1,1)和EGARCH(1,1)模型,通过ARCH效应检验以及模型输出结果,得出上述模型可以很好地拟合数据的结论;分析模型结果发现:京东小金库收益率存在反杠杆效应,即当市场上出现“利好消息”时,收益率波动更明显。Internet finance is playing an increasingly important role in economic development.The analysis of return volatility has become a hot topic at present,and the research on return volatility based on Internet financial products is proposed.By taking the seven-day annual return rate of Jingdong Small Treasury(Jiashi)as the research object,by using the ADF test and autocorrelation test to analyze the data characteristics,the results showed that the rate of return had the characteristics of non-stationarity,autocorrelation,peak and thick tail,fluctuation agglomeration,heteroscedasticity and so on.Finally,TGARCH(1,1)and EGARCH(1,1)models based on GED distribution were constructed for the rate of return based on data feature analysis results.Based on ARCH effect test and model output results,it was concluded that the above models could fit the data well.The results of the analysis model show that there is an anti-leverage effect on the return rate of Jingdong private bank,i.e.,when there is"good news"in the market,the return rate fluctuates more obviously.

关 键 词：京东小金库 收益率 GARCH类模型 反杠杆效应 

分 类 号：F224.9[经济管理—国民经济]