Empirical Analysis On Volatility Characteristics Of Stock Market On GARCH Family Models

Chinese stock market has a history of more than 30 years since the opening of the stock market,and regulatory measures and trading system have been perfected and matured.But there is still a big gap compared with the mature stock market abroad.The research on volatility of stock market returns is a hot topic in financial research.The volatility in the normal range is conducive to the active market,but too frequent or large volatility will bring huge risks to the investors,listed companies and the government,and are not conducive to the normal operation and development of the market.At present,studies on the volatility characteristics of Chinese stock market are mostly based on the Shanghai and Shenzhen stock index as the research object,in Shanghai and Shenzhen stock markets since opening since a period of time as the research scope of empirical analysis.The research content includes the single stock market research,including two stock market research;including the overall stage research,also including the stage research.The overall stage and stage of the two stock markets are seldom analyzed together.This paper selects the typical Shanghai Composite Index and Shenzhen stock index as the research objects,using the historical data of each index,from May 9,2005 to August 30,2017 closing price as the overall sample data.The date for reaching the highest point of the above certificate and the Shenzhen stock index is the dividing point.The sample period is divided into two stages.This Thesis applies descriptive statistics and GARCH family model empirical analysis to study Shanghai and Shenzhen stock market overall and phased stages respectively,in order to reflect the volatility characteristics of Chinese stock market.In the descriptive statistical analysis,the basic characteristics of the Shanghai Composite Index and the Shenzhen stock index are compared and analyzed in order to analyze and evaluate the fluctuation information,to explore the variations.The analysis indexes include mean value,standard deviation,skewness,kurtosis and J-B test value.The results show that the overall and two-stage sample series of the Shanghai composite index and Shenzhen component index show significant volatility aggregation,abnormal distribution,and the peak thick tail.It shows that the overall and each stage of sample series of Shanghai and Shenzhen stock market may have asymmetric volatility phenomenon,and should be further analyzed by using the GARCH model.In order to understand the essence of the stock market,we must study the Shanghai and Shenzhen stock market in a different period of time.In view of the actual analysis and argumentation of GARCH family models,this paper adopts GARCH model and TGARCH model to analyze.Through in-depth comparison and analysis,we can see that the EGARCH model is more suitable for analyzing the asymmetry of Shanghai and Shenzhen stock market volatility.The overall volatility of the Shanghai and Shenzhen stock market has significant asymmetric effect,which shows the leverage effect.In the phased analysis,it is found that the unsymmetry of the Shanghai and Shenzhen stock market volatility shows obvious stage characteristics,which means that good news and good news are not consistent with the characteristics of the Shanghai and Shenzhen stock markets in different periods.The development of China's Shanghai and Shenzhen stock markets is becoming more and more perfect,but there are still many disadvantages,which covers the defects of the market supervision system,and the problems of the investors themselves are unavoidable.Finally,based on the analysis results,this paper puts forward corresponding suggestions from the perspective of investors and policy makers.