ARCH-Type Models and Its Application of the Return Volatility in Shanghai Stock Exchange Index
Tao Wang · Journal of Liaoning University of Petroleum & Chemical Technology · 2009
ARCH model,GARCH model and GARCH-M model were introduced,and the character of ARCH-type model was analyzed.Shanghai stock market composite price index was regarded as the main study object,and the time vary of return rate on Shanghai stock market composite price index was analyzed by using the ARCH model and the statistic software Eviews.The empirical conclusion indicates that GARCH(1,1) model can fit the volatility of return rate in Shanghai stock market,such as volatility clustering,long-memory character and so on;GARCH(1,1)-M can also describe the relation between risks and return in stock markets.