Research On Co-persistence Of The Financial Volatility In China

The financial market is a risky market, and the financial risk on the second-order moment in time sequence is called the financial volatility.Sieries of empirical study found that the financial volatility have time-varying and persistent Features.Then the existence of the volatility persistence further increases the investor’s risk of future investment returns.So the avoiding of the risk which brought by the persistence of volatility is an issue which investors must be concerned. Through the study of the persistence and co-persistence of the volatility in our financial market.this article provided the theories and empirical conduct for the avoiding of the risk of volatility persistence.By combing on a modeling method for volability.this article made the Monte-Carlo simulation study to the persistence and co-persistence of the volatility based on the cointegration theory.Further the article made the empirical research on the Shanghai stock index and the Shenzhen composite index. The study found that the existence of variable structure makes the establishment of volatility models overestimate the persistence of volatility. It is also found that the shanghai stock index and the shen cheng composite index both have a high volatility persistence, and there not exist linear or non-linear co-persistence between the two stock indexes, but rather shows stage type co-persistence. Studies have shown that, series with high persistence may eliminate the persistence of the volatility by the combination, thereby reducing the risk. That is. at the time of investments long as choice the group of assets which exist a co-persistence relationship, you can avoid the risk brought by the persistence of volatility, but not simply choice the assets that not exist persistence of volatility. At the same time, we found that:when the financial risk chiefly comes from external macro system risk, the financial volatility will not show the high persistence, but when the micro non-system risk takes the part importance in the financial volatility, the financial volatility will show the high persistence.The innovations of this article main performance in following points:1.Based on the Monte-Carlo simulation study to the persistence and co-persistence of the volatility, the article made a empirical research to the volatility persistence and its avoiding method on the latest stock index data in China, and thought that our stock market exists stage type features of volatility persistence and co-persistence.2.Based on the empirical research of the stock market in China, the article showed the reality conditions of the existence of.the volatility persistence. It is said that high persistence of the stock index comes from micro-non-systemic risk, and when the external macro-system risk play a leading role to the volatility, persistence of the stock index will not be high.