| 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. |
