GARCH-based Study On Volatility Of Chinese Stock Price

The research about stock market volatility is a significant project in thestudy of modern finance. The volatility in Chinese stock market is one of thegreat drastic fluctuations in the world，so on the research about volatility inChinese stock market is particularly important. There are two general orientationsconcerning the stock market volatility: one is the study about the cause of thevolatility，that’s why the volatility forms; the other is research on the inherentrule of the volatility，namely volatility characteristics. This paper mainly focus onthe inherent rule of the volatility and characteristics， that is， the secondorientation of volatility. This paper based on GARCH model and R/S analysis.We can find that is obvious characteristic of peak and thick tail，volatilitygathered exists in Chinese stock market via the statistical analysis of price index.Volatility asymmetric exists while using ARCH model for empirical research andlong-term memory and persistent exists via R/S analysis. At last it analyzesreasons from the Policy factors，investors and the market mechanism itself，andmakes Policy recommendations in the final.