Research On Volatility In Chinese Stock Market Based On ARCH Family Models

Research on stock market volatility and its factors affected is a focal point of scholars and investors. The range of volatility of Chinese stock market is far greater than that of overseas' mature markets. It is a major problem that how to understand the stock market volatility changes with time varying. ARCH family-model is one of the most classical tools to research on stock market volatility. This paper does make research on stock market volatility through ARCH family models. Furthermore, the paper has investigated the factors which affect volatility and volatility interchanging among the industries. Except that foodstuff & beverages industry shows perfect "random walk". The result proves that volatility of stock market of the whole and industries takes on a distinguishing feature of "high kurtosis and fat tail" clustering asymmetry and strong persistence. However, the range of volatility and the length of persistence display particular features in different industries The short time stock market volatility correlate with policy events and share trading volume, etc. There are positive correlations of volatility among industries in a significant level and a few Granger causalities. Besides, the research has a significant discovery : "a barometer" of stock market volatility-the power water &vapor industry and the financial industry; "a harbor of refuge" of risk management-foodstuff & beverages industry. These discoveries will make great reference value on investing.