Abstract:〖WTBZ〗Internet finance is playing an increasingly important role in economic development. The analysis of return volatility has become a hot topic at present, and the research on return volatility based on Internet financial products is proposed. By taking the sevenday annual return rate of Jingdong Small Treasury (Jiashi) as the research object, by using the ADF test and autocorrelation test to analyze the data characteristics, the results showed that the rate of return had the characteristics of nonstationarity, autocorrelation, peak and thick tail, fluctuation agglomeration, heteroscedasticity and so on. Finally, TGARCH (1,1) and EGARCH (1,1) models based on GED distribution were constructed for the rate of return based on data feature analysis results. Based on ARCH effect test and model output results, it was concluded that the above models could fit the data well. The results of the analysis model show that there is an antileverage effect on the return rate of Jingdong private bank, i.e., when there is "good news" in the market, the return rate fluctuates more obviously.