Statistical Analysis Of SSE 150 Index

In recent years,China's economic development momentum is strong,according to the Bureau of Statistics released the numerical value,the year-on-year growth of 2015 China's GDP is 6.9%,the year-on-year growth of 2016 China's GDP is 6.7%,China's economic situation maintain the overall steady development trend.Among them,the listed company as an important driving force,can boost the rapid development of China's market economy.However,the development of listed companies also inseparable from China's securities market.In recent years,"securities" word has always been mentioned in life,more and more enterprises and people into the securities industry,we can see the securities for the national economy the importance of development.At the same time,securities and stocks are increasingly becoming a positive investment for the people,and gradually integrated into the lives of the people.This chapter is divided into five chapters.The first chapter mainly introduces the background,the present situation,the method and the purpose,the framework.The second chapter analyzes the closing price of the SSE 150 index in recent years by using the principle of time series analysis,the time series data in the classical school and Bayesian school were taken under different analytical methods.First,we use the time series analysis method to analyze the stock fluctuation situation of China's securities industry,which involves the use of ARMA model to fit the time series,using the GARCH model to observe whether the SSE 150 index has the characteristics of fluctuation persistence,using the EGARCH model to observe whether the SSE 150 index also will have a leverage effect.The third chapter uses the Cook distance to judge the possible anomalies.In the fourth chapter,the Bayesian combination MCMC(Markov Monte Carlo)method is used to estimate the GARCH(1,1)model.The fifth chapter is the summary and prospect of the article.Stock volatility has an important reference value on the regulation of investors and the securities industry,we can analyze the conclusions of the level of the stock fluctuation,in order to provide the investors and business operators and regulators of the securities industry of investment direction,reference and advice.