Based On The Sv Model Of China's Stock Market Volatility Of Empirical Research

Volatility is one of the most important features of-the financial market. The stock market of our country had been extremely volatile in recent years, so the study of Chinese stock market yield rate volatility is very significant. This paper analyzes the statistical features of the Shanghai and Shenzhen 300 Index yield rate time series from two aspects which include low frequency data and high frequency data. According to the statistical features, this paper use five stochastic volatility models with empirical methods to analyze volatility features of the Shanghai and Shenzhen 300 Index yield rate time series and compare the fitting results of these models.It is found that the Shanghai and Shenzhen 300 Index yield rate time series has feathers of fat tail and volatility clustering after the analysis of the two kinds of yield rate time series of the Shanghai and Shenzhen 300 Index. Based on this we simulate the volatility features of the two kinds of yield rate time series and analyze their fitting results using the stochastic volatility models. The results show that the leverage stochastic volatility model has better fitting results for both of the two kinds of yield rate time series. It is also found that the high frequency data have better fitting results than the low frequency data.Based on the results of the empirical research, the following policy suggestions are presented:the risk education of the investors should be fortified and the rational investment philosophy should be advocated; the operation of the market participants should be regulated and the illegal behaviors relating to the securities should be fight against.