The Application And Empirical Research Of Price And Trading Relations On Garch Models

In Wall Street, there is a famous saying "volume move before the price", which describes the importance of trading volume in the investment theory. And the relationship between stock trading volume and price defined in this sentence improved the situation of technology analysis theory. The relationship between stock market trading volume and price volatility has always been an important issue in the financial field, for the price-volume relation is an important way not only to know the financial market micro-structure but also to study arbitrary chance or market effciency.The trading volume, acting as a proxy of information flow, conveys a kind of price signal. Therefore, It is very necessary to study the stock market volatility from the trading volume.Mixed Distribution Hypothesis(MDH)gave a theory support for the relationship between trading volume and stock price. MDH point out that the underlying invisible information flux pushes the price and trading volume to fluctuate at the same time, and if there is an impulse for the information flux, it is going to bring a change to the price and trading volume.After tested the reactually was a linear and nonlinear Granger causation relationship between trading volume and price, The business volume took the influence price alignment procedure an important attribute, quotation Mix Distribution Hypothesis (MDH) explains stock market's quantity price relations, and constructed concrete models to describe stock price and trading relations.The text can be divided into five parts. The first part mainly states the necessity and importance of studying the price-volume relation and defines the actual and theoretical significance of taking tradingvolume as an information flow to interpret volatility. The 2nd chapter narrates briefly some research results and the existence question about trading volume and price at home and abroad.The 3rd chapter introduced some preparation knowledge ,such as the basic theories of Granger causal relation examination, GARCH models and and mix distribution modes. The 4th chapter introduced sample selection and the examination, carried on the detailed examination in view of the sample statistical characteristic, the unit root examination, the Autocorrelation, the nonnormal character,the Granger causal relation exanmination.The 5th chapter is the model establishment and the real diagnosis part, established some new models which joined the heterogeneity business volume on the GARCH-M model and the TARCH model, and made the corresponding datas diagnosis analysis.The studies of this paper indicated that: the business volume has certain explanation ability to the Chinese Stock market's undulation endurance. After we join the heterogeneity business volume to the GARCH-M model and the TARCH(1,1)-M model, the parameters which reflected the undulation long-enduring effect have the diffirent degree's drop; Overall, the non-anticipated business volume and the undulatory property are being connected, anticipated business volume and undulatory property are being inverse correlation, Non-anticipated business volume's explanation ability to the volitility property must be bigger than the anticipated business volume; Joining the business volume in the undulatory property equations, the different types of stocks has the different performance;The explanation ability which busines volume beats the volatility property in our country stock market is still lower than the overseas mature stock market.