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1、 1Empirical analysis of GARCH models in stock market1 IntroductionIn recent years, the stock market has become the topic of Academia, policy-making departments and even the National People talked about. After 22 years of development, Chinas stock market is growing more mature and perfect. Till the e
2、nd of 2011, there has been the 2381 listed companies (including Shanghai 928home, Shenzhen, 1453), the market value of 16.4921 trillion Yuan. Chinas gross domestic product (GDP) in 2011 reached 47.1564 trillion Yuan, therefore, 2011, Chinas total stock market capitalization accounted for 34.97% of G
3、DP. As can be seen, Chinas stock market has occupied a very important position in the national economy. Overall, on the one hand, Chinas stock index maintained an upward trend, which is consistent with the development of our national economy. On the other hand, compared with foreign stock markets, C
4、hinas stock markets time is too short. In the early stages of development there are still many problems, for example: Information disclosure is not timely and incomplete, government supervision is not enough, retail investors account for a large proportion of the stock market participants, the lack
5、of effective channels of information access to information, blind operation is relatively easy to follow the trend of operating cause “herding“ increased market risk, etc. Chinas stock markets are often the phenomenon of ups and downs and abnormal fluctuations. The Following table shows the completi
6、on of 22 years of Chinas stock market to eight bulls and seven bear markets summary:TableTable 1:1: ChinasChinas stockstock marketmarket bullbull marketmarketShanghaiShanghai StockStock ExchangeExchangeShenzhenShenzhen StockStock ExchangeExchangeTimePoints changeTimePoints change1990.12.19-1992.5.26
7、96-14291990.12.19-1992.5.2653-3961992.11.17-1993.12.16386-15581992.11.17-1993.12.161529-34221994.7.29-1994.9.13325-10521994.7.29-1994.9.13944-21621995.5.18-1995.5.22582-9261995.5.18-1995.5.221042-14731996.1.19-1997.5.12512-15101996.1.19-1997.5.12924-61031997.5.19-2001.6.141047-22451997.5.19-2001.6.1
8、42521-50912005.6.6-2007.10.16998-61242005.6.6-2007.10.162590-196002008.10.28-2009.8.41664-34782008.10.28-2009.8.45577-139432Table 2: Chinas stock market bear marketShanghai Stock ExchangeShenzhen Stock ExchangeTimePoints changeTimePoints change1992.5.26-1992.11.1714293861992.5.26-1992.11.17291815291
9、993.12.16-1994.7.2915583251993.12.16-1994.7.2934229441994.9.13-1995.5.1710525471994.9.13-1995.5.17216210181995.5.22-1996.1.199265121995.5.22-1996.1.1914739311997.5.12-1997.5.18151010471997.5.12-1997.5.18610325212001.6.14-2005.6.622459982001.6.14-2005.6.6480925902007.10.16- 2008.10.28612416642007.10.
10、16- 2008.10.28195595577 Data Source: National Yuan pilot trading system.With the collapse of the Bretton Woods system in the 1970s, the gradual relaxation of financial regulation with the growing size of international capital flows, risk and risk management is becoming the core of modern finance 2.(
11、Value at Risk) method is an important method developed in foreign countries in VaRrecent years and was widely used to measure risk.Method as a new approach to risk VaRmanagement, has been widely recognized and supported by the worlds major banks, investment companies, enterprises and financial regul
12、atory agencies.Study of in foreign country has been more mature. In ? Detailed summary of VaRrepresentative papers 1994-1997 research work in ?System of various types of VaRcalculation methods are described in detail in his book and risk management system for VaRbuilding all aspects of a comprehensi
13、ve introduction.3The Basel Committee requirements Conditional bank combined values with the VaRbanks internal model to calculate the fitness level of market risk capital requirements for the application in a foreign country; G20 account that is the best way to measure the VaRmarket risk of derivativ
14、es and market risk measurement and control; SEC (U.S. Securities and Exchange Commission) also require U.S. companies to adopt the method as disclosed VaRthree possible one of its derivatives trading activity information. This indicates that not only within the financial institutions are increasingl
15、y adopted as a judge of the financial risk of the financial institutions themselves, at the same time, a growing number of agencies overseeing method as a way to judge the size of the financial institutions risk.The introduction of the method in China began in recent years, and there has been a VaRc
16、ertain amount of research, the earliest research of Chinese scholars see text ? .In the ensuing years, Chinese scholars study the application of the method is more extensive and in-depth. VaRResearch on method can be divided into two phases: the first phase is 1999, this stage is to VaRlearn from foreign research results, research is the introduction to the concepts and methods, see
