Research On Risk Measurement And Supervision Of Internet Financial Market Based On GARCH-CVaR

The Internet has fully and deeply penetrated into and deeply changed various fields of the economic and social development.The combination of the Internet and the finance has given birth to Internet finance,which offers consumers especially vulnerable groups a way to meet the needs of financing and wealth growing.However,the Internet financial industry grow in a savage state,all kinds of risk problems have raised.To strengthen risk prevention and supervision has become a practical demand of promoting the sustainable and healthy development of Internet finance and maintaining the security and stability of the existing financial system.In this paper,the VaR(Value at Risk)and CVaR method are selected as the research methods of this paper through the systematic analysis and research of various measurement methods of Internet financial market risk.This paper focuses on the basic principles of VaR and CVaR models and the calculation methods of VaR and CVaR.Based on the Shanghai Composite Index and Shenzhen Component Index from 2014 to 2016,the VaR and CVaR methods are used to analyze the risk of China's Internet financial market Empirical analysis.Empirical test has achieved good results.Based on the data of Internet financial market,this paper analyzes the software through Eviews statistical analysis and econometric methods.The empirical results show that the distribution of volatility of Internet financial market index has the characteristics of spikes and thick tail,and it has obvious GARCH effect and leverage effect,the volatility of the volatility with agglomeration and time-varying(conditional heteroskedasticity);VaR estimation based on normal distribution may underestimate the risk,based on GARCH-M model t distribution CVaR estimates may be overestimated risk,The CVaR estimation of GARCH model t distribution is more accurate.The empirical study shows that the GARCH model can describe the heteroskedasticity of the residual order of the volatility sequence.The GARCH model can be used to estimate the VaR and CVaR effectively,so as to carry out the risk measurement in the securities market.Finally,the article puts forward relevant risk management suggestions for each market participant.