The article analyzes the P2P lending, one of the main formats of internet finance. Firstly, the EGARCH-GED model is used to analyze the fluctuation of the yield of China's P2P lending. The empirical results show that the fluctuation of online loan yield has clustering and risk accumulation effects, and it also has leverage effect. Then, based on this, the Copula function is used to obtain the overall correlation coefficient and tail correlation coefficient between the online loan platform and Internet finance. The research results show that the fluctuation of the P2P lending platform's yield has a positive correlation with the change of the Internet financial index's return rate, and the tail correlation is asymmetric, the upper tail correlation is more significant, and the lower tail correlation is not obvious. Therefore, the supervision authorities should establish a comprehensive supervision mode suitable for the development of China's Internet finance, improve laws and the supervision system, perfect the credit information system and information disclosure system, and strengthen investors' education.