| This article has carried on the simple introduction of the volatility model. In view of the financial leverage effect in the market, the GJR model and threshold GARCH model are introduced. In this article, we use the GJR model and the threshold GARCH model to carry on the empirical analysis of the daily return rate of the Dow-Jones Average and the s&p since the 21 st century. We can see that the two sequences both have a strong heteroscedasticity phenomena and the financial leverage effect. And we can see that the GJR model describes the daily return rate of the Dow-Jones Average better than the threshold GARCH model while the threshold GARCH model describes the daily return rate of the s&p better than the GJR model. |
