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1、EmpiricalanalysisofGARCHmodelsinstockmarket1IntroductionInrecentyears,thestockmarkethasbecomethetopicofAcademia,policy-makingdepartmentsandeventheNationalPeopletalkedabout.After22yearsofdevelopment,China'sstockmarketisgrowingmorematureandperfect.Tillthe
2、endof2011,therehasbeenthe2381listedcompanies(includingShanghai928home,Shenzhen,1453),themarketvalueof16.4921trillionYuan.China'sgrossdomesticproduct(GDP)in2011reached47.1564trillionYuan,therefore,2011,China'stotalstockmarketcapitalizationaccountedfor34.
3、97%ofGDP.Ascanbeseen,China'sstockmarkethasoccupiedaveryimportantpositioninthenationaleconomy.Overall,ontheonehand,China'sstockindexmaintainedanupwardtrend,whichisconsistentwiththedevelopmentofournationaleconomy.Ontheotherhand,comparedwithforeignstockmar
4、kets,China'sstockmarketstimeistooshort.Intheearlystagesofdevelopmenttherearestillmanyproblems,forexample:Informationdisclosureisnottimelyandincomplete,governmentsupervisionisnotenough,retailinvestorsaccountforalargeproportionofthestockmarketparticipants
5、,thelackofeffectivechannelsofinformationaccesstoinformation,blindoperationisrelativelyeasytofollowthetrendofoperatingcauseMherdingnincreasedmarketrisk,etc.China'sstockmarketsareoftenthephenomenonofupsanddownsandabnormalfluctuations・TheFollowingtableshow
6、sthecompletionof22yearsofChina'sstockmarkettoeightbullsandsevenbearmarketssummary:Table1:China"sstockmarketbullmarketShanghaiStockExchangeShenzhenStockExchangeTimePointschangeTimePointschange1990.12.19-1992.5.2696-14291990.12.19-1992.5.2653-3961992.11.1
7、7-1993.12.16386-15581992.11.174993.12.161529-34221994.7.29-1994.9.13325-10521994.7.29-1994.9.13944-21621995.5.18-1995.5.22582-9261995.5.18-1995.5.221042-14731996.1.19-1997.5.12512-15101996.1.19-1997.5.12924-61031997.5.19-2001.6.141047-22451997.5.19-2001
8、.6.142521-50912005.6.6-2007.10.16998-61242005.6.6-2007.10.162590-196002008.10.28-2009.8.41664-34782008.10.28-2009.8.45577-13943EmpiricalanalysisofGARCHmodelsinstockmarket1IntroductionInrecentyears,thestockmarkethasbecomethetopico
