Research On Volatility In Chinese New Industry Stock Market Based On GARCH Family Models

Stock is an important part of financial markets, the volatility of the stock market has always been a value research one of the hot issues. The volatility of the stock market have more research in foreign country, and at present the research achievement s of scholars in our country are mainly concentrated in Shanghai and Shenzhen index,the research of new industry is less.In this paper, the volatility of the smart wear an d the 4G communication industry are studied, for the investors’ investment behavior a nd the state government departments to provide theoretical to decision-making.This paper first introduces the analysis of time series volatility of the ARCH mo del theory, and GARCH, GARCH-M, TARCH, EGARCH these four models; Then use these models to analysis the stock volatility of our country’s smart wear and the 4G communications. The results indicate that:(1) The smart wear industry stock has obvious ARCH effect; by GARCH(1, 1)-M model analysis, the relationship between benefit and risk did not show significant pos itive correlation, may has related in nearly two years of the smart wear industry has developed rapidly, too high expectations for earnings and loss for the risk awareness;T his industry has a weak leverage, appear bad news have more volatility than good ne ws. The smart wear industry is suitable for GARCH(1,1) and EGARCH(1,1) model.(2) 4G communications industry stock has obvious ARCH effect; by GARCH(1, 1)-M analysis the relationship between benefit and risk, and did not show significant po sitive correlation, may have relation with the 4G communications industry is in a goo d development trend, "good news" more than the "bad news"; The industry has the le verage effect, show the bad news volatility is less than good news. The industry is su itable for GARCH(1, 1) model, EGARCH(1, 1) model, TARCH(1, 1) model.Finally, summarizes the model analysis’ s results and put forward suggestions.