Research On The Divisia Energy Price And Chinese Stock Market Volatility Forecast

With the development of economic globalization,the energy market has become more internationalized and financialized.In recent years,the risk of global energy prices has spread,the stock market has continued to fluctuate,and China’s energy security and financial security have faced various pressures and challenges,which have become the focus of attention in areas such as risk prevention and investment management.At present,fossil fuels such as oil,coal,and natural gas are still the main body of the world energy structure.Due to the difference in resource endowment and energy structure of countries,foreign countries rely more on oil resources and pay less attention to coal and natural gas.China has a coal-dominated energy consumption structure,which makes it unreasonable to focus only on oil prices.At the same time,China’s external dependence on oil and natural gas is increasing.Facing the current complex political and economic environment,it is also necessary to pay attention to the volatility of international energy prices.In this context,it is of great significance to correctly measure China’s energy prices and explore its impact and forecast on the stock market.this paper analyzes the transmission mechanism of energy price affecting stock market,and constructs the Divisia energy prices that conform to the actual situation of China’s energy market from the dual perspective of energy structure and energy security based on the shortcomings of existing research.This paper takes Chinese A-share market as a sample for research,and uses the Generalized Autoregressive Conditional Heteroskedastic Mixed Frequency Data Sampling(GARCH-MIDAS)model to combine low-frequency data and high-frequency data to solve the problem of the traditional samefrequency model.The impact of energy price on China’s stock market volatility is studied through in-sample estimation.In out-of-sample forecasts,this paper explores whether Divisia energy prices and the GARCH-MIDAS model can improve the accuracy of stock market volatility forecasts and improve investor returns.The in-sample estimation results show that the stock market volatility is more affected by the volatility of Divisia energy price than the changes in the energy price variables themselves.At the same time,among the sub-price indices,the impact of the oil price index on stock market volatility plays a dominant role.Compared with international crude oil price,Divisia energy prices have a greater contribution to explaining the overall volatility of the Chinese stock market,but have less impact on the stock market volatility,avoiding overestimation of the impact of energy price risks.The out-of-sample prediction evaluation results show that the GARCH-MIDAS model based on mixed data has better prediction performance than the GARCH model.Compared with international energy price volatility,the model incorporating Divisia energy price volatility can provide more accurate forecasts for Chinese stock market fluctuations.In addition,the two-factor GARCH-MIDAS model with realized volatility and energy prices further improves forecast accuracy.Robustness analysis using different out-of-sample forecast lengths,MCS test and Shanghai Composite A-share index as samples also confirms the above main conclusions.The results of the economic value test show that the model incorporating Divisia energy price volatility has obtained the greatest economic value under different risk aversion coefficients,which can help investors improve returns.These findings demonstrate the superiority of the GARCH-MIDAS model based on mixed-frequency data,emphasize that Divisia energy price volatility is an important factor in determining the fluctuation of Chinese stock market,and highlight the rationality and importance of constructing Divisia energy prices.In the end,this paper puts forward relevant suggestions from the aspects of policy formulation,financial supervision and personal investment,so as to promote the sustainable,healthy and stable development of China’s energy market and financial market.