Using GARCH Model To Analyze Price Fluctuation Of Commercial Department Store Stocks

This paper firstly describes the various methods of the theories of stock price prediction. Based on that, we have some understanding of the history of equity research. Then, the types and the characteristics of the commercial stocks are introduced.In current situation, we think about how to seek for the opportunities and overcome the challenges faced by commercial enterprises. There are seven representative commercial stocks out of the commercial index selected as a sample in the empirical study by using descriptive analysis methods for stock volatility. General volatility trend of commercial stocks is valuated through the analysis of basic statistics. It is proved that the overall yield level of commercial stock is higher than average market level. The daily yield of commercial stocks basically maintains the same numbers of up days and down days. According to the result of analysis, the entire trend of commercial stocks and stock market is very mild. There is little spike out of stock market in current economic environment.The commercial index show significant GARCH effects. Day yield does not follow a normal distribution and there is a "fat tail" phenomenon which proves an obvious heteroscedasticity. The sum of coefficients in GARCH (1,1) is close to1. This data suggests that the impact on the conditional variance is very durable. The result of GARCH (1,1)-M model proves that the risk and benefit for commercial stocks are positive related. After using TARCH model fitting, the asymmetric effect is very obvious, which indicates the fluctuations for the good news and the bad news is much different.