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Article Title : An Empirical Study on the Volatility of CSI 300 Index Based on Arch Model
Author(s) : Chunhua Huang, Haijie Hu
Corresponding Author : Chunhua Huang
Keywords : Volatility; Arch Model; CSI 300 Index; Conditional Variance.

Since the establishment of A stock market, there are often violent fluctuations. In order to analyze the law of its fluctuations, this paper uses EViews9 software to establish Arch family model and select the CSI 300 Index. It is found that the fluctuation of the CSI 300 Index is characterized by clustering and a “sharp peak and thick tail” pattern. According to the Garch model, the response of the CSI 300 Index to external shocks is significant, and the previous volatility will have a persistent impact on the current volatility. Through the analysis of Asymmetric Garch model, it is found that the effect of the good news and the bad news on the stock price is asymmetric, and the response of the stock price to the bad news is more significant than the good news. Through Garch-m model, we find that the risk and return of a-share market do not match, which shows that the irrational investment in a-share market is more than the rational investment.