Based On The GARCH Models Analysis Of China’s Stock Market Volatility

Volatility can be considered as an important index to measure the size of the financial risk,has been widely applied in various fields,it directly affects the financial asset pricing,asset allocation and risk management.After more than 20 years of development,the main research focused on the estimation of volatility models,volatility characteristics of studying the structure and volatility forecasting model,this article is based on the basis of forefathers’ research and focus on the Chinese stock market volatility is difficult to specific quantitative measure,on the choice of data analysis,model and innovate and volatility of the quantitative research,but investors want to reap the benefits,establish an effective volatility model is particularly necessary.Due to the volatility in the stock market is difficult to specific quantitative measure,VaR can measure their risk,cannot be measured between the stock market risk transfer effect,especially in the case of a severe financial crisis.So we introduce risk CoVaR overflow value to concrete analysis,through the risk of stock overflow value to see the volatility of the stock market,the size of the main work of this article is as follows:(1)the family of GARCH model of optimal choice model: in view of the three major characteristics of China’s stock market to select the corresponding GARCH model for comparative analysis,by using ARMA model we try to adjust to the TGARCH model in order to improve the model to estimate goodness-of-fit,select the optimal model.(2)the family of GARCH model prediction accuracy analysis,and mining LR statistic method to test all kinds of model in the standard normal distribution,t distribution or GED distribution under VaR forecasting accuracy,according to the data characteristics choose the capability of model to depict the distribution of.(3)The optimal model of VaR and an empirical analysis of the risk of overflow value:VaR measures the stock’s own risk,cannot be measured between each stock risk transfer effect,combination of VaR and risk spillover effect CoVaR method,considering the stock market volatility.The empirical results show that the volatility asymmetry TARCH model describing ability is superior to other models,the GED distribution can improve the model of the ability,and TARCH VaR forecasting precision of the model is superior to the other model is suitable for China’s stock market VaR forecast.The CoVaR value of VaR and risk spillover effect,ifthe VaR value is higher,and the risk of overflow value is high,the stock market is not stable and volatile,and vice versa.In the stock market volatility is higher investment risk is bigger,so investors must be careful,more effective,precise configure your own portfolio and risk management.