Empirical Study on Shanghai Stock Market with ARCH Class Models

摘要

This paper first makes ARCH-LM test on Shanghai stock market yield series on the basis of its elementary statistical properties and concludes that the series has ARCH effect; then we match volatility of Shanghai stock market yield series with GARCH(1,1),EGARCH(1,1) and GARCH(1,1)-M respectively and the results demonstrates that EGARCH(1,1) is the best; simultaneously this paper explains why jump and slump happens in China stock market these two years.