Research on the Volatility Characteristics of Shanghai Stock Market Based on ARCH Model Family
DOI:
https://doi.org/10.54097/fbem.v4i2.634Keywords:
Shanghai stock market, ARCH model family, Volatility, Information shock curve.Abstract
In order to study the volatility characteristics of the Shanghai stock market, on the basis of reviewing the relevant literature, based on the ARCH model family, this paper selects 5797 data from the daily closing price of the Shanghai Stock Exchange on the Shanghai Stock Exchange from December 27, 1996 to November 30, 2020 to empirically analyze the volatility characteristics of the Shanghai stock market.
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