The Performance Analysis Of Internet Monetary Fund Based On VaR-GARCH Method

The rapid development of Internet finance has brought great opportunities to the financial market.But at the same time,it has also brought unprecedented challenges.Internet monetary fund like Yu Ebao continuesly impact the traditional monetary fund market,and also put forward new requirements for market supervision.By comparing the Internet Monetary Fund(including the platform type Internet Monetary Fund and traditional Monetary)and Traditional Monetary Fund,this paper establishes ARMA-GARCH model of each fund's yield series,calculates the relative VaR value of each monetary fund and the modified Sharpe ratio,gets following conclusions at last:1.Most of Traditional Monetary Fund's yield series are stationary,with "mean return" characteristic,while the Internet Monetary Fund's yield series are integrated of order 1.2.overall,the Internet Monetary Fund is obviously superior to the Traditional Monetary Fund on the average return,VaR value and the Modified Sharpe ratio.If we only consider market risk and expected return,Internet Monetary Fund products can be a good substitute for Traditional Monetary Fund.3.In Internet Monetary Funds,the average VaR value of the bank's Monetary Fund is less than the platform's Monetary Fund.The difference of VaR value and the performance ranks between bank's Monetary Fund are smaller than the platform's Monetary fund.It shows that the risk management and the investment ability of the Money Fund products of different banks are better than platform's Monetary Fund.