Structural Mutation Research On The Stock Fund Flows Strength Index Based On Time Series

Volatility is a significant feature of the stock market,but also the core of financial theory.Structural mutation is an important part of wave theory.In this research,the comprehensive index--stock fund flows strength index which was obtained from the calculation of stock prices,volume,liquidity and other datas was used as the research object to study the fluctuation characteristics of Chinese stock market.In the paper,three sides of the stock fund flows strength index were studied.Firstly,the distribution,stability and other statistical characteristics of the stock fund flows strength index of SSE A shares and Shenzhen A shares on 5th,10 th and 20 th days were analyzed by statistical analysis.Secondly,the variance structure mutation point of the stock fund flows strength index of different stocks in different periods were detected by the modified ICSS algorithm.The obtained mutation points were conducted with empirical analysis.Then,the judgment method for the mutation point of the stock fund flows strength index was established.Finally,the GARCH model was established for the stock fund flows strength index series,and the mutation GARCH model was established by combining the obtained mutation points.The comparative analysis of the two models showed that the fluctuation of the mutation GARCH model was weakened,indicating that the structural mutation effect of the fluctuation had been captured by the dummy variable.Further study on the mutation GARCH model of the 5th,10 th and 20 th stock money flow strength index obtained a well-developed mutation GARCH model of the 20 th stock fund flows strength index.In this research,the variance structure mutation point of the stock fund flows strength index was studied by the time series analysis method and the modified ICSS algorithm.The judgment method for the mutation point of the stock fund flows strength index was established.A well-developed mutation GARCH model was obtained.The research not only have a good insight into thefluctuation characteristics of the stock market,but also can provide the basis for the stock market volatility forecast,which has important practical significance.