Research On The Daily Exchange Rate Volatility Of China Stock Market

Stock market, acted as an element market, was full of uncertainty. The rapid volatility of information and capital make the stock price change frequently, which attribute to the volatility of the market. Many researchers did lots of study to reveal the rule of stock price volatility. Some classical theories of capital market were brought out, and kept developing. Because of the excellent effect in describing the characters of financial time series volatility, Autoregressive Conditional Heteroskedasticity (ARCH) model became more and more popular in recent years. This article is trying to study daily exchange rate of Chinese stock market with ARCH model. This article first introduce some classical theories about the volatility of stock price, and summarize some researches both of overseas and domestic, then describe the characters of the ShangHai Stock Composite Price Index, and forward simulate the index with the ARCH models, finally forecast the volatility of daily exchange rate. This paper is composed of four parts: the first part is the exordium and explain the developing trend of researches of exchange rate volatility, the second part introduce the data that used in this article and describe the character of the object, the third part simulate the daily exchange rate of the ShangHai Stock Composite Price Index with ARCH models, the fourth part forecast the volatility of the daily exchange rate.