Nowadays, the sharing economy has become an indispensable lifestyle for urban residents. Meanwhile, the credit risk contained in this innovative economic model has also become a hot topic among the public. In view of the existing standard KMV credit risk model is unable to process "rush thick tail" of data deficiency, introduces GARCH and EGARCH and TARCH model calculation value of equity volatility, solved the problem of non-normal distribution yield sequence. By conditions in the ARCH LM test, further get the credit default risk values of the sharing economy enterprise YOUON. The results show that the EDF value of sharing economy enterprise is much higher than that of other traditional industries, and puts forward targeted countermeasures and Suggestions based on the model conclusion.