Volatility Linkage Analysis Of China's Stock Market Industry Index Based On GARCH Models And SV Model

With the rapid growth of China's economy,China's securities market has also entered a track of prosperity and development.Not only has the trading volume continued to increase,but the operating mechanism has also made great progress.The gap with foreign developed markets is gradually narrowing.However,China's securities market is still not mature enough,and the investment environment is becoming more and more complex.Accurately describing and predicting market price fluctuations has become a key issue.At present,the research on stock price volatility is mostly concentrated in the fields of Shanghai and Shenzhen Index,GEM or bond market,and the research on the inter-market linkage is mostly concentrated on the linkage research between China and foreign markets,and there are few fluctuations in specific industries on the market.And related research.Under the environment of rapid economic and social changes in China,the links between industries are getting tighter.It is necessary to study the volatility and linkage between industries to help understand the economic development status and laws more deeply.This article takes the five industries of real estate,finance,information technology,consumption,and materials as the research objects,and selects the daily closing price data of the industry index between 2014 and 2019.First,the data is tested for normality and stability,and the ARCH effect test The GARCH model analysis of the volatility of a single industry,and the Markov Monte Carlo simulation method is used to estimate the parameter range of the SV model.With each two industries as a group,BEKK-GARCH modeling and DCC-GARCH modeling were conducted on the industry groups,and Wald test was conducted to analyze the linkage and correlation between industries.This article mainly uses Eviews,Winrats and Winbugs software for programming.The main conclusions of this paper are as follows:A univariate GARCH analysis of the logarithmic returns of the five industries found that the sum of the coefficients of the ARCH and GARCH terms of each industry is close to 1,and the volatility is high.SV-T modeling of the rate of return has strong volatility in the financial industry and information technology industry.Binary GARCH modeling and analysis of the linkage relationship between industries found that there are two-way fluctuation spillover effects between the two industries in most groups,and the fluctuation spillover effects of different groups are different.And the correlation coefficients between the ten groups of industries such as the consumer industry and the real estate industry,the financial industry and the material industry all exceed 0.5,so these ten groups of industries have certain correlations.Among them,the material industry and the information technology industry have the strongest correlation,and the groups with the strongest correlation are:consumer industry and material industry,consumer industry and information technology industry,financial industry and real estate industry,material industry and real estate industry.