China's Stock Market Rate Of Return And Volatility Of Long-term Memory Research

Because of the faster updating of stock market data and the larger content of data information,and the existence of numerous dynamic measurement characteristic in financial time series,they went deep into the measurement analysis about stock market data and got lots of empirical evidences,based on which they reported a lot of theoretic hypothesizes and propositions.By describing and testing the time-series characteristic of the stock return series and the dynamic attributes of the process of mean and volatility rate,we can not only reveal the basic characteristic of stock market,but also judge the relationship between the operation of stock market and macroeconomic,thus provides the important reference for the judgment of economic situation and the establishment of the economic policy.Based on economic and financial extend theoretical models.This paper make use of the experiential data to confirm the theoretical models.Conditions hypothetical,theoretical inferred and experoential testify between each other improve,all the while has been the gradual and orderly progress from the fragment, typifying facts and found rule etc.The drivation abstract hypothetical of securities market theoretical has been proved in the specific empirical studies and research experience,also a number of empirical facts have been solid based for securities theory abstract and sublimation.This study started from the following aspects:Firstly,we focused between statistical features of the stock market return rate series and volatility rate and the dynamic properties of the mean value process to detailed explain,and we conclude and review related research progress at home and abroad;Secondly,we discuss begin statistical model of assets return,then gradually discussions with the economic structure of the stock assets model and given about the stock price and the proceeds of measure and scale.At last,based on the hypothesis of effective market and long memory model of time series,This paper makes a serious attempt to explore whether there exists the long memory of the Shanghai and Shenzhen stock markets return rate series and volatility.