Empirical Research On The Volatility In China Securities Market

China's stock market has made great achievements,which contributes greatly to the whole national economy after its development for more than 20 years.However,China's stock market is in the initial stage of development,still with relatively weak foundation and incomplete policy systems of all kinds.A lot of problems are exposed in the process of development,showing instability of severe fluctuation and obvious leverage effects.For the problems in China's security market,investors and expert scholars pay more and more attention.These problems are of great significance to improve China's financial market.Therefore,the study object of this paper is the fluctuation of China's security market.With the constant development of modern financial market,it is found that the ARCH family model can effectively describe the market fluctuations.Therefore,the study method of this paper is to use the ARCH(GARCH)model to do modeling towards volatility,which will more accurately measure the risk of financial market,and offer valuable suggestions.Benchmarked against daily rate of return of Shanghai composite index,Shenzhen composite index and Growth Enterprise Index,this paper describes the statistical characteristics of yield rate of the stock price in China by using ARCH family model and EViews APP.It also makes an empirical analysis towards the fluctuations of China's security market.Based on the previous research,trading volume is added as an explanatory variable for further studies.Through the studies,we find that in the basic statistical characteristics of the yield rate of China's security market,the kurtosis is far greater than 3 under the normal distribution,with excessive kurtosis,indicating that China's security market structure is not perfect,the fluctuations of yield rate are comparatively prominent,and the sequence of yield rate is not obedient to the normal distribution and has problems of ARCH effects,leverage effects and asymmetry fluctuations.After introducing the trading volume,the Granger causality test shows that there is a causal relationship between the yield rate and the trading volume of the Shanghai stock market and the Shenzhen stock market.When the trading volume is added into the model,the figure which reflects the stock price fluctuation is reduced and the goodness of fit is increased.It shows that after adding the trading volume,the reason why the stock price fluctuates can be further explained.However,in the GEM and in the GRANGER causality test between the trading volume and stock price volatility,the change rate of the trading volume can not well explain the yield rate of fluctuations because the P value is not obvious.In the empirical study of the GARCH model with the added trading volume,although the coefficient of change of the added trading volume is more than zero,it is not quite good for the fitting of mean variance.It is not obvious under the 5%significant level,which further shows that the trading volume is not a good explanation for the yield rate of fluctuations.