Based on VaR model of LiCaiTong's risk measurement

被引：0
|
作者：
Liu Haoyu [1 ]
机构：
[1] North China Univ Technol, Sch Sci, Beijing 100144, Peoples R China
来源：
STATISTIC APPLICATION IN MODERN SOCIETY | 2015年
关键词：
LiCaiTong; Rate of return; GARCH model; VaR;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
LiCaiTong as one of the hottest Internet financial product in the current, due to its embedding WeChat, therefore has a broad:user base. This paper selects four kinds of money funds from LiCaiTong as sample, through the study found that the rate of return has obvious peak and fat-tailed and wave agglomeration characteristics. The introduction of GARCH model to depict the volatility of the rate of return sequence. On this basis, calculate the VaR value. The analysis results show that the money funds from LiCaiTong have different risk, and do not reflect the corresponding relation of financial assets high-risk high-rate, low-risk and low-income.
引用
收藏
页码：706 / 709
页数：4
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