GARCH family model based on the Shanghai stock market shorting mechanism analysis

摘要

Based on the introduction of shorting mechanism and index movements, this article studies on the sequence of Shanghai stock market index comprehensive index yield, finding existed leverage effect in the form of two dimensions. The establishment of GARCH family models by stages of sequences would be helpful in analyzing, exhibiting the shorting mechanism with double effect quantitatively: it largely eliminated the asymmetric ARCH effect in certain yield sequence; meanwhile, it also compounded the volatility of individual sequence of stock index returns.