Research Of Volatility Of Chinese Stock Market Based On ARCH Family Models

Volatility of stock is the foundation of the stock market to exist and develop. Normal volatility of stock price is the premise for the investor to obtain investment income,and is very important to the mature of stock market.On the contrary, unreasonable volatility of stock price will not do any good to stock market.Chinese stock market came into existence about 20 years ago,in these years,it is turning to mature,and in the same time,it accelerates the economy development of our country greatly.Like all stock markets,Chinese stock market is a tool of allocating resources and transmitting information,but it has some characteristics that other markets don't have,because it is too young.These characteristics are just what I want to study in this text.Taking theories of Modern financial theory and Modern statistical theory as the instruction,the volatility of our country's stock market as the master line,this paper uses standard analysis and practical analysis method to analyze.By descriptive analysis of statistic method and ARCH family models,I will give out a detailed study of the volatility of our country's stock market.In the text,I use not only international comparison,but also history comparison.First,I talk about some basic theories about volatility of stock market and the way to measure the volatility of stock market.Then it's the analysis of data about stock share index in Shanghai and Shenzhen Stock Exchange,using descriptive analysis and ARCH family models respectively,and the last is conclusion.The following is conclusion of my study:first,data of stock share index in Shanghai and Shenzhen Stock Exchange has the characteristic of the general finance data,is suitable to carry on general statistics analysis and establish the ARCH model; second,the return of stock share index in Shanghai and Shenzhen Stock Exchange has a higher mean than the international index,but also higher Amplitude,Standard deviation,Skewness,Kurtosis,JB-value.Third,Income risk ratio is bigger in Shenzhen Stock Exchange than shanghai.Fourth,there are some characteristics in Shanghai Stock Exchange,for example,durable but asymmetric impact of information,bad news has bigger impact than good news,and so on.on the contrary, there isn't leverage effect in Shenzhen Stock Exchange.