Analysis On The Volatility Of Stock Index And Stocks In Shanghai And Shenzhen Stock Market

Volatility, as one of the most important tools to measure the risk in the stock market, has been thought much by the scholars and the practical operators. Nowdays, the domestic research in this field focuses mainly on stock index's volatility estimation by ARCH models, while it cares little about the realized volatility, and it need more research no matter in the extent or in the depth.This article chooses all of the stock index and industry index , part of individual stocks in the shanghai and Shenzhen stock market as the reachch object and collects the daily closing price between January the fouth 2001 and December the fourteenth 2005. By the use of ARCH models, it takes an all-round study in selected stock index and stocks. It estimates the volatility of industy index and individual stocks, and analysis the traits of volatility and correlation between the industry index and the individual stocks.Then, it selects the frenquency data of the sample stock index and stocks from June first to the August thirty-first in 2005, uses the Andersen method to define the frequency and then gets the realized volatiliy. Furthermore, it compares the realized volatiliy and the volatiliy estimated by of ARCH models to check the estimation effection of ARCH models.At last, it researches the frequence data by using ARCH models to review the fluctuation status of stock index and stocks in a day.