China's Stock Market Volatility

This paper accounts the characteristic of stock volatility and the significance of the research to stock volatility, some demonstration analysis is done on the return volatility of Shanghai index,Shenzhen index and 15 vocation index of our country's stock market.In Chapter 2, we summarize the commonly process of the modeling using GARCH family models systemically. We establish GARCH,GARCH-M,TARCH,EGARCH and GARCH-t models on return series, then use these models to analysis some volatility characters, such as high apex and thickness tail, permanence of volatility, the relation between return and risk and the asymmetry of volatility etc, lastly, we study the volatility forecast of the GARCH family models.In Chapter 3, firstly, we do some demonstration on the long memory character and the statistical cycle of the return series using the R/S analysis method and the DFA method, and we do some research on the stability of the R/S analysis method, the difference and the contact between the two methods too. Secondly we account the characteristic index and the tail index of the fractal distribution, we do some demonstr- ation study on the tail index of our country's return series. Lastly we summarize the results of our demonstration.In the last chapter, we sum up our demonstrational productions, give a prospect of our study in the following.