Stock Price Volatility Research Based On The GARCH Model

The development of modern agriculture is the key to solving the problem of agriculture, listed companies in the agricultural sector as the enterprise organization representatives of agricultural industrialization, are charged with the development transformation of the agricultural system and an important organization form of participating global competition strategy. Stock price volatility of listed companies in the agricultural sector is a comprehensive reflection of various information, not only by the big economic environment, the operating conditions of listed company itself, and the impact of investor behavior, but also by the agricultural economic policies, agricultural production cycles, import and export of agricultural products, seasonal weather and other factors, the volatility of stock prices has its own characteristics.This paper discusses about the theoretical knowledge related to stock price volatility, and then describes the various forms of GARCH models, finally selects agriculture and forestry index that from January 1,2004 to December 31,2014 as the research object and takes the GARCH model to do empirical study on the agricultural sector listed companies’stock price volatility based on the statistical description. GARCH (1,1) equation regression results show that the agricultural sector listed companies’stock price volatility has higher persistence; GARCH-M model regression results indicate that the agricultural sector listed companies’ stock price volatility makes risks are not necessarily proportional to benefits; EGARCH model shows the agricultural sector listed companies’ stock price volatility asymmetry characteristic isn’t obvious; combined GARCH model regression results indicate that the agricultural sector of listed companies stock prices will gradually close to the intrinsic value of the stock in the long term.