Research On Financial Volatility Models Based On Panel Data

With the development of financial market and the improvement of informationtechnology, panel data has been becoming one of the most important forms offinancial market data. The existence of the ARCH effect of the financial market hasmade the inefficient estimation of the panel data model, and the single time seriesvolatility model cannot satisfy needs of the financial market Analysis.This paper is on the study of the financial volatility model of panel data. Its corecontent includes three parts, which is the research of the model family of panel dataautoregressive conditional heteroskedasticity, the research of panel data stochasticvolatility model, and the research of the weekday effect of financial returns and itsvolatility.It's the core on the research of the model family of panel data autoregressiveconditional heteroskedasticity, and also is a difficult part. We successfully introduceARCH modeling ideas into panel data model so that one not only may analysisfinancial characteristics of returns and volatility, but also can explain the wholesituation of returns and volatility of the financial market. This part will carry throughin the third chapter.The fourth chapter in this paper introduces the modeling ideas of stochasticvolatility into panel data model and puts forward panel data stochastic volatilitymodel. The Kalman Filtering can be employed to filter out the quasi-likelihoodfunction of the model and quasi-maximum likelihood estimation (QML) is used as achief means of estimating the parameter of the model.Celebrating, financial investors have been focusing on the weekday effect of thestock market and a lot researches have been brought forward by researchers. But, inthese works, the weekday effect of stock return and its volatility has been madeseparately, which ignored the symbiosis between stock return and its risk, as a result,it's short of strictness and persuasion. To solve this problem, we utilize panel dataGARCH model in testing the weekday effect in Shanghai stock market.Furthermore, this paper also made a brief summarization and prospect for thefinancial Econometrics from its concept to its research frame.