An Empirical Analysis To The China Stock Market Based On The Method Of Moving Average And GARCH Models

With the rapid development of China's stock market, the effectiveness of technical analysis and the asset allocation become more and more important to investors. A suitable investment strategy can help investors to avoid some unnecessary risks and obtain more money, in severe shocks on China's securities market. we must find a suitable investor' method, which can help us increase income and control the unnecessary risk. This paper makes use of technique index and GARCH models in different industry in china stock market.We know that technical analysis contains a large number of methods and tools. The paper use the most simple moving average and channel breakthrough to get our research object.Through channel breakthrough to enhance technological reliability of signals. We selected 9 different types stock make research to investigation the ability of obtain benefit of these method in the Chinese market. And at the same time.this paper discuss the application of technical analysis and asset allocation to our country stock market. we use the relatively sample trading rules.moving average and channel breakthrough.Through combining the two technical methods to observe these income situation and compare these trading strategies to distinguish their difference. The paper compare the difference of these method, meanwhile we try my best to find the best method.Later we use the GARCH models in two industry of the financial and building materials, the paper simulated the yield data. Through the prediction of the two residual data compared E-GARCH, TGARCH and the WMA. Through the statistics of the data of AIC and SC. The paper found GARCH(1,1) model is better than the other models. Further more, the article use the model links to the strategy to rove the empirical result.Finally, Volatility in financial and building material is forecasted by different measurement models, such as GARCH(1,1) model and the weighed Moving average etc. The result suggest that EGARCH-M model is the best model for measuring daily stock market volatility by compare the portfolio strategy TGARCH, the weighted moving average simulated the data of financial return. The model of EGARCH-M do the best in the comparison. These strategy must fit that its benefits need better than the other trading models in stock market of china. Last, we outlines some shortcomings of the places and where need to be improve and some areas must correct in the research of the future.