Study on the risk spillover effect of Internet financial products

Abstract

Internet finance has developed rapidly in recent years, and internet financial products, led by yu 'ebao, have set off a wave of national wealth management. The effective combination of the financial industry and internet technology increases the inclusiveness, extensiveness and innovation of the financial industry. But there is also an increase in risk, which is not to be underestimated. This paper uses the GARCH-CoVaR model to study the spillover effects of internet products in the internet financial markets. Through the analysis of five representative internet products, the risk spillover effects of different internet products on the internet financial market are studied. We use different GARCH model families to fit the yields of five kinds of internet products. In conclusion, internet products have risk spillover effects on internet financial markets, so it is necessary to strengthen their risk supervision.