China's Beverage Industry, The Volatility Of Stock-based ARCH Model

As an important measure of market risk factors, more and more people payingattention to the volatility in recent years,for the analysis of volatility will ultimatelyaffect the asset and risk management. In the empirical study of modern finance, theresearchers found that a lot of time sequence error sequence does not existautocorrelation. But there is the phenomenon of autocorrelation exist in the sequence ofsquared errors. That error variance or volatility changes over time. Autoregressiveheteroskedasticity model is an important method of handling such problems. Withfurther research in recent years, ARCH model has achieved rapid development. Becauseof its volatility can solve the problem, ARCH models have been widely used in timeseries analysis of financial data into.In this paper, China’s beverage industry sector day yield has been uesd as researchobjects. Using a combination of ARCH models and econometric analysis softwareEviews study the statistical characteristics of its stock price volatility. Through theestablishment of GARCH, TGARCH EGARCH model,empirical analysis of its results.Empirical evidence shows that China’s beverage industry sector has a thick tail spike,heteroscedasticity, both persistent and non-symmetry characteristics of its volatility.