Research on Fluctuation of China Stock Index Yield Based on ARIMA-TGARCH Model

• 1、School of Economics,Jinan Unversity,Guangzhou,510632
• 2、School of Management,Jinan University,Guangzhou,510632

Abstract：China\'s stock market has more than 30 years of history since its opening. Trading systems and regulatory measures have become more and more perfect. Although there is still a certain gap compared with mature foreign stock markets, the fluctuation of yields in China\'s stock market has always been used as a financial Hot topics in the study. Based on the Shanghai and Shenzhen Composite Index and the sector index yield, this paper studies its volatility over the past decade and whether there is leverage in the stock market. The method uses TGARCH model analysis, which can better fit the characteristics of the peak and tail of the stock time series data. The empirical results confirm that there is a significant asymmetric leverage effect on the comprehensive index returns of China\'s Shanghai and Shenzhen stock markets. The sector index returns are based on different industries, showing the exisResearch on Fluctuation of China Stock Index Yield Based on ARIMA-TGARCH Modeltence of leverage and non-leverage.

Keywords： Quantitative economics TGARCH model Shanghai and Shenzhen comprehensive index yield Sector index yield