Chen, W. T. (2020). Empirical Study on Performance Attribution of Index Enhanced Fund China’s CSI Based on Multi-Factor Model 300. Shanghai University of Finance and Economics.

has been cited by the following article:

• TITLE: Study on the Volatility of CSI Index Returns 300 Based on GARCH Modeling

  AUTHORS: Zhipeng Cao, Jiayu Zhao

  KEYWORDS: GARCH Model, CSI 300 Index Return, Leverage Effect, Volatility Aggregation

  JOURNAL NAME: Open Journal of Business and Management, Vol.13 No.6, October 16, 2025

  ABSTRACT: CSI 300 index reflects the overall dynamics of the stock market, covering about 60% of the market capitalization of the Shanghai and Shenzhen stock markets, this paper adopts the CSI 300 yield data from January 4, 2010-December 31, 2020, and analyzes its volatility by using the GARCH model, and the empirical results show that: there is an ARCH effect in the sequence of the CSI 300 yields; the GARCH (1, 1) model fits the change pattern of the CSI 300 yields, and is used to predict the future development trend of the index, which can provide the future investment direction for the relevant index investors, and also facilitate the government departments and the central bank to formulate the corresponding monetary policies. The GARCH (1, 1) model fits the change rule of CSI 300 yield and is used to predict the development trend of the index in the future, which can provide the future investment direction for the relevant index investors and facilitate the formulation of corresponding monetary policies by the government departments and the central bank.