Empirical Analysis On The Volatility Of ShangHai Stock Market By GARCH Model Family

Shanghai stock index is researched in this article, the statistical software Eviews5.0 is used on the characteristics of the sample analysis, the main conclusions are the following: The series data have excess kurtosis and heteroskedasticity; The series data have asymmetric features . The GARCH model family are used in empirical research. Through the comparison of parameter estimating, diagnosing and forecasting precision of each model, the EGARCH(1,1)-M model is proved to be the best one to simulate the volatility character of the return series of Shanghai stock composite price index.