The Study of Risk Prediction Based on Improved GARCH Model

摘要

Risk management related to volatility estimation methods is studied in this paper. By studying fluctuations in the Shanghai Composite Index returns features, it is proved that rates of return subject to ARCH model, for GARCH (1, 1) model to predict the Shanghai Composite Index returns volatility is reasonable. Because of the "calendar effects" in financial markets, high-frequency data is introduced into the GARCH model, as the result better estimate value of fluctuations is abstained.