Volatility Analysis Of Returns On Shanghai Stock Price Index

Chinese Stock Market grows fast and has made great progress since it was founded. However, our country's stock market is very young, and the market risk and volatility is much larger than that of foreign markets. So it is necessary to study the volatility character of stock market when it is on the developing way.In this text, we will regard Shanghai stock composite price index as the main study object ,basing ARCH model, try to make a systematical study both theoretically and empirically and compare different econometrical models to find a suitable one for China stock market. the first one, a analysis of the stock market volatility which explains what the volatility is, what cause the volatility and what factor is, we can find that market price deviate from its real value is a important reason, and the nonstandard behavior of market participants(investors, listed companies, intermediate agencies, government) and system problem are influent factor of stock market volatility ; the second one, strictly selects the sample data, proves the presupposition of the models ,tests the variables ARCH test, and compare parameter select model and so on. And the main results are the following: excess kurtosis, heteroskedasticity of the series data, and asymmetric effect of the series data volatility and so on, we find TGARCH-M(1,2) is the best model. The last one, some enlightening advice on how to control the stock market volatility on the basis of the former analysis.