Research On Stock Returns Correlation Based On Vector Stochastic Volatility Model

In order to study the stochastic volatility of stock market,and to simulate the maximization of stock returns.This paper reviews the domestic and foreign research results of stochastic volatility model.It has been found in the previous literature that the traditional GARCH model for estimating the yield sequence usually exhibits volatility with long memory characteristics and high variance persistence.These characteristics can be caused by the structural change of variance.In this paper,on the basis of the stochastic volatility model,the stochastic volatility model.On the basis of summarizing the research methods of stock market returns,the paper puts forward a test method to test the turning point of the stock market.And the Shanghai stock market and Shenzhen stock market into the stage.According to the needs of the research,we established the SV model.This paper simulates the returns and volatility of China's Shanghai stock market and Shenzhen stock market into two stock markets by using a two variable SV model.Based on the comparison of the test results and the actual stage of China's stock market.Some empirical results are obtained based on the stochastic volatility model.