| It has been 20 years since the Chinese stock market was born, and the Chinese stock market has been keeping a high volatility level for these 20 years. It doesn't only augment the stock market's system risk, but also disturbs the normal financial order to some degree. Our stock market's volatility usually shows the high volatility state and the low volatility state emerging alternately, that is the regime switching of stock market's volatility. Therefore, studying the regime switching of our stock market's volatility and the switching factors has its own significance for analyzing the character of our stock market's volatility, weakening the violent stock market's volatility and promoting our stock market's healthy development.We apply TAR model, MSA model and SWARCH model, these three basic regime switching models, to the research about the regime switching of our stock market's volatility. Firstly, we put our stock market's volatility and main stock market indexes into contrast and point the character of our stock market's volatility. Secondly, we introduce TAR model, MSA model and SWARCH model, and by theoretically comparing these three basic regime switching models on basic principle, hypothesis and other aspects, we analyze the merits and drawbacks, also the applicability of each model. At last, applying these three models to the analysis of the weekly returns of shanghai composite index, with respect of the returns and the variance, we get the positive results which show that: the returns itself has a self-correcting regime; there is a reciprocal adaptation relationship between the returns and the variance; MSA model embodies the effect of short term factors while the SWARCH model embodies the effect of long term factors, and on such a base, we analyze the long and short term factors that affect the regime switching of our stock mark's volatility. With all the results above, we put forward some advice on how to weaken our stock market's violent volatility. |
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