Information Impact Effect of Shanghai Composite Stock Index Base On EGARCH Model

摘要

In this paper, we used Shanghai Composite Index closing price data from January 2001 to April 2009, constituted the EGARCH model base on GED distribution to measure the market's Information Impact Effect.Empirical results show that: the Shanghai Composite Index closing price fluctuations have a leverage effect, "bad news" have greater volatility than the same amount of "good news".When the "good news" can give the logarithm of conditional variance the impact of 0.230 while the "bad news" with the impact of 0.592.