The Application of ARCH Model in Shanghai Stock Market
Wei Chen · Shuxue de shijian yu renshi · 2008
This article analyzed the yield of Shanghai stock exchange price index number during 2000 and 2004 with Autoregressive Conditional Heteroskedastic(ARCH)model.The demonstration shows that the characteristics like volatility clustering、 fluctuate、 thicker tails than the density of the normal distribution in the yield of Shanghai stock exchange price index number is very evidence,and the forecast ability of the ARCH model is very strong.