Volatility Analysis Of Growth Enterprise Market Index Based On GARCH Model

The GARCH model can describe characteristics of the volatility of financial time series data,and has wide application and research value.Therefore,more and more scholars use GARCH model to simulate the volatility of financial time series data,which makes GARCH become an effective tool for investment system and risk control strategies.In this paper,the 1610 day closing price of Growth Enterprise Market index from June 1 2010 to January 13 2017 is selected as the sample,and the daily yield of Growth Enterprise Market index is calculated.In order to study the volatility of Growth Enterprise Market index,the stationary test found that the daily yield of Growth Enterprise Market index is stable,but not normally distributed.The analysis shows that there is a strong ARCH effect and conditional heteroskedasticity on the daily yield of Growth Enterprise Market index.In the process of model fitting,there is a correlation in the daily yield of Growth Enterprise Market index through ACF and PACF test.So the daily yield of Growth Enterprise Market index needs to simulate the ARMA model to eliminate the correlation.Based on the ARMA model,GARCH(1,1)model,GARCH(1,1)-M model and EGARCH model were used to fit the daily yield of Growth Enterprise Market index.And through the analysis of model fitting effect,it is considered that the fitting effect of EGARCH model is better.