Volatility Characteristic Analysis Of The Stock Price Index Returns In China Based On ARCH Models

The volatility is one of the most important characteristics of financial market. With the constant development of the security market, ountless investors and theory researchers try to explore the laws of the market volatility of the securities. As a new developing market, our security market is still very inmature as to capital market of the developed country, whether the market possesses lots of characteristics perfected in some developed countries is very closely mentioned. In order to understand the fluctuation characteristic of the security market of our country better and evade the risk, this text has analyzed the stock price index returns arrays volatility in Shanghai and Shenzhen on the basis of drawing lessons from both at home and abroad, examined the volatility characteristic , explored its influence factor and origin.This paper has recommended volatility theories and analyzed the statistics characteristics of the stock price index returns arrays of Shanghai and Shenzhen at first. Then this paper has introduced various kinds of the volatility models and assumption examinations briefly. Based on ARCH models, this paper has carried on the positive research to the stock index returns of Shanghai and Shenzhen finally.Research shows that the stock price index of Shanghai and Shenzhen has characteristic of "fat tails excess Kurtosis". When utilizing ARCH models to fit returs arrays, the fluctuation durative can be partly interpreted by the change rates of bargain gross, opening price, highest price, lowest price and their change rate. The auto-correlation index of the absolute value series of the standardized residual in the returns arrays of the two stock markets showed that the lag-class in which the negative number emerged greater than 30, the volatility has long memory. The leverage effect exists obviously in stock markets of Shanghai and Shenzhen, the factor of the lever is remarkable minus, the volatility that bad news causes more than the good news of the equal size is great. Stock markets of Shanghai and Shenzhen have obvious calendar effects, exists the obvious negative "Tuesday effect "and "January effect ", Shenzhen market demonstrates the negative "Thursday effect " even; The remarkable spill-over effect exists in two markets. The stock market of Shanghai and Shenzhen demonstrate the characteristic that moves ahead simultaneously generally. Comparatively, the mean value of the stock index returns of Shenzhen stock market should be a little bit higher, and the volatility characteristic is stronger, stock markets of Shanghai should become familiar a bit more efficient relatively.