ARCH Effect Of Volatility In Chinese Stock Market

In recent years,the domestic financial market has been developing rapidly under the fast-paced environment of China's economy.The stock market occupies an immeasurable position in the financial system,in which the trading volume of stocks and the rate of return formed by prices are an important reference for reflecting the development trend of the market.Whether it is from the overall macroscopic or microscopic point of view,it always represents the “barometer” of China's economic operation—the Shanghai Composite Index,which can present the overall fluctuations in the stock price of listed companies listed on the Shanghai Stock Exchange.Among the hidden risks and hidden factors in the stock market are likely to appear in the price fluctuations of financial products.When there is excessive price volatility in the stock market,it may indicate that the function of the stock market may have some problems.In reality,investors tend to favor less volatile stocks to reduce risk,and stocks with higher volatility tend to increase investment risks.Therefore,it will be very meaningful to study the trend of stock price fluctuations in China's financial market.This article mainly uses the Econometrics GARCH model to carry out specific inquiry analysis on the daily closing prices of Shanghai Composite Index(SH000001),Shanghai Stock Exchange 50(SH000016),and Shanghai Small and Medium-capped(SH000046).The introductory part of this article explains the research background,research purpose and significance of the volatility of stock price returns,the status of foreign and domestic literature research and so on.The second part is an overview of the relevant theoretical basis.It mainly discusses the mixed distribution hypothesis and the order information arrival hypothesis.The stock market volatility in the stock market can be expressed as the digestion and absorption of new information in the market,and the stock trading quantity can represent new information.Arrival to the market will be reflected in the fluctuation of the stock price.This laid the theoretical guidance foundation for the main part of the empirical evidence.The third part briefly compares and analyzes the price returns of the Shanghai Composite Index,Shanghai Stock Exchange 50,and Shanghai Small and Medium-capped in recent years,and derives the basic characteristics of the index's return fluctuations on different plates of the same motherboard.The fourth part establishes the ARCH family correlation model and processing analysis on the daily yield rates of the Shanghai Composite Index,the Shanghai Stock Exchange 50,and the Shanghai Stock Exchange Small and Medium-sized Securities Market;focuses on the expansion of the GARCH model such as EGARCH and TGARCH.The effect of fluctuations in price returns.The analysis of the ARCH effect of the stock price return rate sequence is mainly to test the heteroskedasticity and asymmetric effect of the auto-regressive conditions in the trend of price-return fluctuations,and to make corresponding explanations.After adding the castrate trading volume,observe the index of the Shanghai Stock Exchange.The degree of heteroscedasticity and asymmetric effects interfere with the condition,thus confirming that the transaction volume can represent the arrival of new information in the stock market.These new messages,to a certain extent,cause corresponding changes in the stock market price.The fifth part draws the final conclusions through the previous empirical research,and analyzes the reasons for the results and the feasibility suggestions.These proposals will provide policy makers with guidance on major policies that are more suitable for China's financial markets,provide regulators with more reasonable ways of financial supervision,and provide market participants with appropriate trading strategies to avoid risks.