The Research on Shanghai-Shenzhen 300 Stock Index's Volatility

摘要

Based on the EGARCH model of GED distribution, this paper fit China Shanghai-Shenzhen 300 Stock Index's volatility. The results show that the EGARCH model can fit China's stock index volatility well. The Shanghai-Shenzhen 300 Stock Index closing price fluctuations have a leverage effect, "bad news" generate greater volatility than the same amount of "good news".