An Empirical Study On Asymmetric Effect Of Return Rate Of Internet Money Market Fund Based On GARCH Family Model

Money market funds did not appear in China until 2003.With the development of Internet technology and the integration of money funds,Internet money fund products gradually entered the eyes of the public.The iconic event was the birth of Yu'e Bao in 2013.The rate of return of Internet money funds began to fall after 2014,and the high yields of the past no longer exist.This is followed by doubts from the outside world and concerns of investors.Since money market funds are relatively young investment products in China,they are generally Individual investors usually lack understanding of the risk and return characteristics of money market funds,and are often unable to respond effectively in the face of violent price fluctuations.Therefore,using reasonable and reliable methods to study the nature of money market fund returns can not only reflect the characteristics of money market funds.Operational status is of great significance to the healthy development of money market funds and the asset allocation of investors.At present,domestic scholars have little research on the asymmetric effect of money market fund returns.This paper selects the representative Tianhong Yu'ebao currency and Huitianfu Quanyuanbao currency in money market funds as the research objects.Considering the establishment time and the timeliness of the data,the sample period is selected from December 2013 to June 2021.,And choose the seven-day annualized rate of return data as the research target.After referring to previous scholars ' research on business cycle theory,the sample period is divided into two stages,the expansion period and the contraction period.The article first conducts descriptive statistics and stability test on the return rate of Tianhong's Yu'ebao currency and Huitianfu Quanlubao currency,and conducts ARCH effect tests in the entire business cycle and at various stages.After the ARCH effects are obtained,they are in the entire business cycle.In the first stage and the second stage,the GARCH family model is used to conduct empirical research on the asymmetric effect of the returns of the two funds.The research results show that the sequence distribution of the return rate of Celestica Yu'ebao currency and Huitianfu Quanyuanbao currency are not normal distributions and exhibits peak and thick tail characteristics,and Celestica's Yu'ebao currency is more volatile than Huitianfu Quanyuanbao currency.Larger;Tianhong Yu'ebao currency and Huitianfu Quanlubao currency return rate series have been tested by ADF,and there is no unit root,and are affected by the ARCH effect in each stage;in the whole economic cycle and the first stage,Tianhong's Yu'ebao The asymmetric effect of the currency rate of return is stronger than that of Huitianfu Quanlibao currency.In the second stage,the asymmetric effect of the currency rate of return for Huitianfu Quanlibao is stronger than that of Tianhong's Yu'ebao currency.