The Empirical Research Of Stock Market Volatility Based On Sv Model

After twenty years of development, China's financial market is growing very fast, while showing unprecedented volatility, resulting in growing financial market risks, financial risk measurement has been growing concern. Dramatic ups and downs in China's stock market, making the risk of stock market is a huge, but there is also a huge opportunity. however, because the investor is ignorant to the stock market risk, blind enters the stock market, loses seriously, The general Investors invest unprecedentedly frantic. The behavior of the investors also contributed to the volatility of the stock market, increasing the risk of the stock market. Therefore, the system in-depth study of Chinese stock market volatility and value at risk has important practical significance.Stochastic volatility (SV) model is a well characterized financial data model. has a wide range of uses in the financial sector. This article use stochastic volatility models to describe the stock volatility. the model's empirical research seeks to reveal the general characteristics of the stock market, and to standardize and improve its reference value of the stock market.This paper introduces the research background and significance of stock market volatility,then reviews the major domestic and international research on financial volatility,and point out the in-depth study of volatility.In the empirical part, we use 2009-1-6 to 2010-6-30 Shanghai and Shenzhen 300 index returns data to analysis features of stock markets in China. Then analysis the volatility by standard SV (S V-N) and fat tails SV (SV-T) model. Parameter estimation is achieved by Monte Carlo simulation (MCMC) methods on WinBUGS software. From the comparion of standard SV model and fat tail SV model on simulation results, effects and DIC criteria, we know the fat tail volatility characteristics of financial data is superior to the standard SV model.The comparion results of VaR based standard SV and fat tail SV model,tells us the VaR based on fat tail SV can grasp the level of risk of stock market better than standard SV model. The last part is summary,and appropriate recommendations on China's stock market volatility and risk characteristics.