Research on Volatility of the Return by Stages in China Stock Market

摘要

China stock market was divided into three stages according to the significant events that affected the stock market. And it's compared that ARCH effect and leverage effect of three periods of yield from vertical and horizontal with ARCH model respectively. The result proved that these three different periods of yield sequence all have high - ARCH effect and obvious fluctuations aggregation. In addition, the volatility of Shanghai and Shenzhen stock market are very similar. But the yield sequences of different periods have different structural characteristics. That indicated that different policies make a great impact on Chain stock market. Finally EGARCH model are used to analyse the asymmetry of stock market. The results showed that it existed obvious leverage effect in two stock markets, and economically speaking, it is more distinguished in Shanghai stock market.