The Analysis Based On The Stock Market Volatility Of The Stochastic Volatility Model

Continued development of market economy, resulting in the economic development of China affected by the affect of Stock Market is increasingly apparent, so need to give a high degree of the Stock Market volatility attention.In the present research in, firstly describe and analyse the factors of Stock Market volatility,and how to affect the economy development of a county, theories and methods are generally applied to research and assess in present situation of countries in Stock Market volatility.Secondly, in this paper will expand(give) the detailed derivation depth analysis of Stochastic Volatility Model(SV), Heavy-Tailed Stochastic Volatility Model (SV-T), ARCH-Type Model, EGARCH Model, TARCH Model and so on, based on the analysis results of various models, we can comprehend the aspects of advantages and disadvantages in the Stock Market volatility.Finally,in order to scientific analysis and research on Stock Market volatility of China, in this paper we selected the method that Markov Chain Monte Carlo(MCMC) simulation the Bayesian analysis.We can predict more precise in parameter setting and volatility sequence selection by the design based on dynamic stochastic volatility model.In this paper, we simulation the actual data of China Stock Market by comparing the ARCH type models, according to the results obtain the correlation between Stock Market volatility and heteroscedasticity.