Research On The Correlation Of Tail Risk Between Internet Finance Industry And Traditional Financial Industry

The vigorous growth of Internet finance has brought opportunities and challenges to the traditional financial industry.With the progress of information technology and the popularization of mobile PC,the trend of financial integration is becoming more and more obvious.The intersecting and fund exchange of different industries constitute the risk transmission channel between them.Therefore,it is still an important problem to carry out the tail risk correlation analysis to the Internet financial and financial industry.The volatility of stock prices tends to be asymmetrical,that is,the response to the rise and fall is different;the tail correlation is evident in the stock volatility of business dealings,and it has significant time-varying characteristics.This paper,starting with the stock index of the Internet financial industry and the financial industry,analyzes the two groups of indices by using the Realized EGARCH model and the time variant Copula model.The results show that the two industry indices have a clear tail correlation,and some policy suggestions are put forward mainly for the current Internet Financial disorder.The main contents of this paper include the following aspects:Firstly,the distribution selection of Realized EGARCH model is carried out.On the basis of the introduction of the Realized EGARCH model,the empirical study is carried out with the Shanghai stock index as the sample and the different residual distribution forms.The logarithmic likelihood function and the information impact curve show that the model based on the Skewed-t distribution is more effective.Second,the choice of the time-varying Copula function.After the Realized EGARCH model fitting and parameter estimation of the Internet financial index and the financial industry index,it is found that the time variant Copula model can not be directly selected through the edge distribution of the two parties,so the time variant Guassian Copula,Clayton Copula,and Gumbel Copula function are used respectively.The results show that there are both upper tail correlations and lower tail correlations between the two indices,and the correlation between the upper and lower tail is high.Third,according to the results of the time-varying Copula model combined with the previous research,the main factors affecting the risk correlation of the two industries are macro economic environment,industry cycle,policy tendency and so on,and the hidden illegality,high leverage of financing and poor self-discipline in the current Internet financial industry.The existing laws are imperfect and put forward policy recommendations.