Empirical Study on Stock Return Volatility in China's Stock Market

摘要

Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method. This article will link function to copulas connect theory is introduced into the financial analysis. In this paper, the author makes an empirical analysis of Shenzhen composite index using GRCH family model, and the results show that Chinese stock yield has significant peak fat-tailed features, and have volatility clustering.