Research on the Volatility of China's Stock Market Returns Based on GARCH Model-Taking CSI 300 Index as an Example

Guanghui Zuo

doi:10.54097/br2vcf89

Authors

Guanghui Zuo

DOI:

https://doi.org/10.54097/br2vcf89

Keywords:

CSI 300 index; volatility; GARCH family model.

Abstract

The volatility of yields reflects the degree of risk in the market, and at the same time the volatility of yields is viewed as a measure of information, and high volatility is generally accompanied by large market information shocks. Therefore, it is particularly important to study the volatility of China's stock market returns so as to find out where the problems lie. In this paper, the CSI 300 index is taken as the research object, and a total of 2,671 daily closing prices from 4 January 2013 to 29 December 2023 are taken as the sample, and the GARCH family model is used to analyse this sample data, so as to derive the volatility characteristics of the CSI 300 index and to make static forecasts.

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