Volatility Of Stock Index Returns Based On GARCH Model And Quantile Regression

Although China's stock market has been established for a short time,its development is rapid.We usually call the stock market as a virtual economy and the real economy as a real economy.The relationship between them is mutual mapping,and they can predict each other.So studying the stock market and its future trend,the return and volatility of stock index can help us grasp the economic situation and future development of our country.Therefore,the volatility of stock market returns has become a common concern of scholars.However,because most of the financial data have the characteristics of peak and thick tail and the data structure is abrupt,the traditional statistical analysis method has no significant fitting effect,so it is difficult to find out the characteristics of stock market returns volatility according to the model.The GARCH model and quantile regression have innate advantages in dealing with this data,so this paper chooses these two methods to analyze the fluctuation of the CSI300 index.Firstly,this paper systematically summarizes GARCH models,including parameter estimation and model test.Taking the data of Shanghai and Shenzhen 300 index in recent years as samples,using the time series generalized autoregressive conditional heteroscedasticity model and R statistical software,EGARCH(1,1)model is established to extract and capture the volatility characteristics of Shanghai and Shenzhen 300 index.Through fitting analysis,it is found that the volatility of Shanghai and Shenzhen 300 index returns has the following characteristics It has a strong persistence and negative leverage effect.Because the negative volatility of individual stocks will quickly spread to the whole stock market,it is suggested that stock market managers use appropriate means to prevent the spread of the volatility.Then,the advantages and disadvantages of quantile regression and the estimation and test of model parameters are summarized.The data of CSI 300 index are empirically analyzed by quantile regression method It is found that the fluctuation of the stock market is greatly influenced by the external macro-control factors.Through the analysis,we know that the fluctuations are mainly concentrated around2008 and 2015,when the world was experiencing a financial crisis.Although the successful holding of the Olympic Games slowed down the economy a lot,China also experienced the Wenchuan earthquake in 2008.This shows that the fluctuation of economy has a strong impact on the fluctuation of stock returns,and major natural disasters will also affect the fluctuation of stocks.In 2015,the state successively issued many policies for the benefit of the people,and the government's regulation made the stock market rebound.After the CSRC issued the order of banning the sale of small and medium-sized stocks,but the stock market soon declined,which shows that the supervision and policy implementation of the stock market also affect the volatility of stock returns.The fourth chapter mainly puts forward suggestions or countermeasures based on the results of two empirical analysis,so it suggests that investors should not take opportunistic measures to destroy the normal order of the stock market,and hope that the stock market managers can increase the management of the stock market,severely punish illegal phenomena,and give investors a vibrant stock market.