International Comparison Of Stock Market Return Volatility And Its Impact Factor Analysis

Yield fluctuation is the important indicators of stock market returns change,precise measurement for volatility in theory not only helps to analyze the stock market volatility characteristics and cycle,but also can make investors effectively circumvent the potential risks and reduce investment losses.For the analysis of the stock market returns volatility has attracted the attention of the researchers,effective stock market surplus funds in the fully mobilize the economy play an important role,and ultimately backed by a country's economic engine of growth.But if you want to make contribution to the capital market on economic growth,you must keep the steady performance of the stock market.Due to the performance of the stock market is often uncertain,so the financial market volatility,in academia between policymakers and practitioners have been attracted a lot of attention.But the vigorous development of the international and domestic financial market,financial products constantly emerging,the rapid development of the financial network of unsafe cases can emerge in endlessly,the economy in turmoil,the conflict with the demands of the economy steadily upward.How to effectively control risk become a problem to be faced with all walks of life.I wish this article could to some policymakers in considering risk of stock market volatility,fluctuations in find the right measure method to control the risk,step by step in the direction of the healthy and orderly development.In this paper,first expounded the development of the family of GARCH model:EGARCH model,TGARCH model and FIGARCH model.Although traditional FIGARCH model is possible to maintain a long-term memory,in the long-term measure,it can not think about the current economic environment in the model.Therefore,in this paper,we joined the algorithm that can identify the state ofthe economy into the FIGARCH model,then the economy can be divided into three states,thereby on stock market returns volatility forecasting accuracy is greatly enhanced.At the same time,this article selects major stock indexes of several countries and areas:China,Japan,India,Russia,Britain,the United States,and Australia,respectively for 3 s-V-FIGARCH model test,and compared with FIGARCH model,EGARCH model,TGARCH model.The results have shown that the 3s-V-FIGARCH model is superior than other GARCH model.Finally,in order to explore the influence factors of the domestic stock market volatility,this paper selected the domestic and global main macroeconomic variables,using EGARCH model to explore its impact on the domestic stock market.