The Volatility Analysis of the CSI 300 Index Based on the GARCH Model

DOI

10.2991/aebmr.k.220603.207How to use a DOI?

Keywords

SSE 50 index volatility; ARCH model; GARCH model; EGARCH model

Abstract

Volatility can measure the quality of stocks and can be used in asset allocation and asset pricing to control the risks of stocks to a certain extent, so as to formulate reasonable investment strategies. Through the ARCH model, the GARCH model and the EGARCH model, this paper studies the volatility of the SSE 50 index to explore the stock price fluctuations in China’s securities market and reflect the operation of my country’s stock market. The study found that there is an obvious cluster effect in the volatility of the index, indicating a strong market speculation atmosphere, investors with short-term investment preferences, and less attention to stock value. Based on the analysis of the model, this paper forecasts the short-term volatility in the future and puts forward some reasonable suggestions.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license.

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TY  - CONF
AU  - Yuntian Bai
PY  - 2022
DA  - 2022/07/01
TI  - The Volatility Analysis of the CSI 300 Index Based on the GARCH Model
BT  - Proceedings of the 2022 2nd International Conference on Enterprise Management and Economic Development (ICEMED 2022)
PB  - Atlantis Press
SP  - 1272
EP  - 1280
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220603.207
DO  - 10.2991/aebmr.k.220603.207
ID  - Bai2022
ER  -