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Title: |
Analysis of Chinese Stock Market Volatility Based on GARCH Model |
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Source: |
International Conference on Engineering and Business Management 2012(Part 4 Urban Management and Financial Investment)
(pp 2991-2995)
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Author(s): |
Yu Rei, Renmin University of China, Beijing, China, 100872
Yiding Xu, Renmin University of China, Beijing, China, 100872 |
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Abstract: |
The analysis of the stock market volatility has bocome a widely concerned topic by scholars and financial industry participants. This paper uses the constrast of GARCH models to analyze the features of Chinese stock market volatility through the volatility of Shanghai Index. This paper finds that day yield is the conditional heteroscedastic sequence, EGARCH(1,1) fits the data better, and also finds that volatility of Chinese market influenced by the previous level, and this relates to the origin and development process. The reform process of our stock market is accelerated, market factors are highlighted, the government can use this model to supervise the develop of China stock market.
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