The proposed ARCH and its extension model have brought a powerful tool for the study of stock market volatility as well as verify that a ââ?¬Å?high risk brings high-yieldââ?¬Â and the ââ?¬Å?leverage effectââ?¬Â of stock market. This paper gives modeling analysis by using the ARCH group models; in the last ten years Shanghaiââ?¬â?¢s index returns, concluded that there are significant ââ?¬Å?high-yield associated with high-riskââ?¬Â phenomenon and the ââ?¬Å?leverage effectââ?¬Â in the domestic securities market. The previous studies in fitting return series of ARMA models, mostly with low accuracy have a very subjective ââ?¬Å?observation autocorrelation and partial autocorrelation function method,ââ?¬Â and even directly use ââ?¬Å?random walkââ?¬Â model. That will inevitably have some impact on the accuracy of the model. While this paper adopts the Pandit-Wu formulaic modeling method, theARMAmodel is built on a strong theoretical foundation.
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