A Study on the Volatility of China’s Capital Market
QIAO Fa-dong1, WANG Zheng2, XUE Li-rong3
(1.School of Economics and Finance, Xi’an Jiaotong University, Xi’an 710061, China; 2.Shengda Trade Economics & Management College of Zhengzhou, Zhengzhou 451191, China 3.Economic and Technical Research Institute, Shannxi Electric Power Company, Xi’an 710061, China)
Abstract The volatility of capital market has always been one of the hot topics of financial researches. This paper uses GARCH, asymmetric GARCH and SV model to study the market volatility of the CIS 300 stock index futures, and applies multi-criteria to analyze and compare the applicability of the model, which is used to describe Stock Index Futures Volatility of China. The results show that: firstly, the CIS 300 stock index futures market has a large speculative, and its rate of return exists significant heteroscedasticity and asymmetric effect; secondly, when we use the MCMC method to infer the SV model, the effect of using the method of new Shephard plus Shephard filtering process to estimate the parameters of the model is better than that of JPR method; thirdly, from the point of view of the mean square error (MSE), absolute mean deviation criterion (MAE), the EGARCH has the best fitting results. At the same time, DM test also shows that the prediction ability of EGARCH model is the highest.
2014, Vol. 31 
