Comparison On Effect Of ARCH Modles Based On Shanghai Stock Exchange Market A

Moment of the stock market has ups and downs, there has been market volatility, Participants swing because of the uncertainty of the future of market . Is there a scientific method to estimate the volatility and forecast the future trend of market? In the demand of reality, ARCH type models have emerged, their estimating and forecasting tcharacteristics interpret the market volatility characteristics well.This article selects Shanghai Stock Exchang Market A as sample. Every day closing price in January 1, 2007 - December 31,2010 as the study datas. Which,datas of January 1, 2007 - December 31,2009 estimates market volatility, datas of January 1, 2010 - December 31,2010 forecast market volatility.This article introduces the domestic and foreign scholars research on the volatility of stock market conditionsfirstly;then describes the selection of scholars the main research models at the present stage, basis for theoretical foundation for later study;then analyze the ARCH effects about the research datas; next is the focus of the content of this article,comparising the analysis and prediction capacity on market volatility of different models, obtain model for this study , and attempts to improve the model; based on the comparison ;Finally, interpretating the estimating and forecasting result presented the underlying causes on the selected sample of market fluctuations and revealing the real function of the result.