Empirical Analysis On Stock Price Volatility Of Listed Agriculture Company By GARCH Models

With huge economic and social development, Chinese economy has already been the second one of the largest countries in the world. Domestic stock market has become the world's third market after the United States and Japan, the world's largest scale of stock market investors, at the same time, national attention and support to agriculture is also increasing, the development of modern agriculture is inseparable from the securities market. As the country of the largest scale of investors, it should allow the stock market service agriculture better. Securities market has effect on agriculture through agricultural listed company. And share price fluctuation of Listed Agriculture Company will affect the agricultural listed companies. Therefore, the research on the law, characteristics and factor of stock price volatility agricultural listed companies have significance not only for the macro-policy makers, operators and investors, but also for the development of agricultural modernization.Selecting the58stocks of the agriculture, forestry, animal husbandry and fishery sector, agriculture and forestry index as the object of study, the use of descriptive statistics overall analyze the phenomena and causes of stock price volatility of agricultural listed companies, based on the use of GARCH models in-depth study the law of agricultural listed company's share price fluctuation. The empirical results show that: first, the stock price of agricultural listed companies has the phenomenon February Red; Second, GARCH effect of the yield of agricultural listed companies is significant. Yield the distribution of agricultural listed companies do not follow a normal distribution, there are obvious "fat tail" phenomenon; the sum of squared residuals after fitting the daily return is significant variability and aggregation. Third, the GARCH (1,1) model fitting, the coefficient β1+α1, is very close to1, that the conditional variance suffered a lasting impact; impact predictions for the future have an important role; The fourth, agricultural shares of listed companies TARCH fitting, we found that the asymmetric effect was not significant, and thus subject to the impact of bad and good news, the fluctuations will not have great differences.