The Empirical Research of Shanghai Stock Market-Based on EARCH Model

This article uses the sample data originated from the WINDquotation database. According to the EGARCH model,we discussed the statistical characteristics of the return rates of Shanghai stock market, also we analysised the asymmetry phenomenon of the Shanghai stock market return volatility. We Concluded that: (1) The existence of the impact of non-symmetry, but also the existence of leverage effect; (2) By fitting the news impact curve can be seen, the curve is asymmetric,the same intensity of bad news caused a greater impact on future volatility than good newe.