Research On Mixed Frequency Measurement And Prediction Of Long-term Fluctuations In China's Stock Marke

This years,the real economy of China has become prosperous,and the financial economy has become mature and orderly.The financial market,as a bridge connecting the two,is more important in our country.At the same time,the stock market is an important part of the financial market.It has also attracted the attention of policy makers and scholars.Policy makers also attach great importance to the prevention of systemic financial risks.Therefore,this paper mainly starts from regional financial risks,studies six regions in mainland my country,studies the impact of macroeconomic factors in these six regions on the long-term fluctuations of local listed companies’ stock prices,and studies and analyzes the macroeconomic factors between different regions and their impact.First of all,this article collects and organizes about 4 million daily data of listed companies that are constituents of the Composite Index by region,and divides these data according to the registered addresses of listed companies according to the division of mainland my country by the National Bureau of Statistics.To the six regions,according to the data compilation method of the Shanghai Composite Index,compile the stock price indexes respectively,and obtain the yield data,obtain the monthly and quarterly realized volatility according to the yield data,and draw graphs for preliminary observation.it is found that the volatility of the stock index returns of listed companies in various regions presents a clustering effect,and the trends have certain similarities and differences.At the same time,the unit root test is performed and reduce the error of the subsequent model establishment.At the same time,this paper also collects the monthly CPI growth rate and quarterly GDP growth rate according to the six regions divided by the National Bureau of Statistics to prepare for the subsequent modeling.Secondly,based on the data obtained by the above methods,this paper establishes a two-factor GARCH-MIDAS model for parameter estimation.The modeling obtains the marginal influence of different variables on the long-term fluctuation of the stock market in each region,and it is found that the estimated parameters are significant,and the macroeconomic factors have different degrees of influence in different regions.Further,this paper decomposes the long-term components of volatility into the impact of low-frequency volatility and macroeconomic,calculates the proportion,and draws graphs,and finds that different macroeconomic variables have different degrees of impact.The impact is greater than the impact of CPI.At the same time,it is also found that the same macroeconomic variable has different effects on different regions.Further,this paper uses macroeconomic variable modeling to conduct out-of-sample forecasts,and finds that whether it is GDP or CPI,the volatility forecasting accuracy of each region has improved.Finally,this paper makes a summary based on the above research content,which is mainly divided into the impact of macroeconomics on stock market fluctuations,the differences in the impact of different regions and macroeconomic variables,and forecasting effects.At the same time,based on the above conclusions and my country’s national conditions,relevant policy recommendations are put forward on the prediction and control of my country’s financial risks and stock market fluctuations,so as to prevent systemic financial risks from a regional perspective.About innovation,it provides a relatively novel perspective in the research of stock market segmentation.Based on the registered place,compile the price index,and the macroeconomic variables in different regions are studied.The influence on the longterm fluctuation of the stock price index returns of listed companies,and the mixed frequency model is adopted,which retains the information of the low-frequency macroeconomic sequence to the greatest extent.In general,this paper studies the impact of macroeconomic variables on the longterm fluctuations of regional listed companies from a regional perspective,which can provide policy makers with more policy perspectives.,and fine-tune relevant policies to better suit local conditions and prevent regional risks from escalating into systemic financial risks.