An Empirical Study of Hang Seng Index Based on GARCH Model

摘要

The stock market is called the “barometer” of a country’s economic development, and its distinguishing feature is the volatility of stock prices. Starting from the basic time series of stock indexes, this paper selects the monthly closing prices of the Hang Seng Index from October 2010 to October 2020 as sample data, and selects the GARCH model for data fitting analysis. The results show that the GARCH (1, 2) model can better fit the logarithmic return of the sample data.