Research On Volatility Of Industry Index In Chinese Stock Market

China's stock market is an important part of market economy system,whose healthy and stable development has a significant influence of market-oriented economic.VolatilITy of stock price 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.This article has been selected nine categories of the industry stock index's return rate as the main subjects,using GARCH models to analysis the index's volatilITy of characteristics.First of all,this article uses qualITative research methods anglicizing the unique characteristics of Chinese stock market volatilITy on the theoretical level.Then the related models are chose based on the researches before.The statistic analysis of the data is done by the software Eview3.0 and WinRates6.0.The result indicates that the financial index has maximum volatlTlITy;the food index has the most persistent volatITlITy,on the other hand,IT index is the weakest;all the volatilITy caused by good news has heave fluctuations than which caused by bad news except agriculture; the financial index has the highest average risk premium factor;the volume of mining has more impact on volatilITy than any other index;index of petrochemical and index of manufacturing,the transport index and manufacturing index has the strongest relevance,the correlation coefficient more than 0.9;the article also found that 17 pairs of index have two-way causal relationship,14 pairs have one-way causal relationship,and there are 4 pairs does not exist cause and effect relationship between them.