The Simulation Study of Shanghai and Shenzhen 300 Index By Garch Models

The empirical analysis of Shanghai and Shenzhen 300 Index, using Garch family models, shows that the fluctuation of Shanghai and Shenzhen 300 Index has an outstanding Garch effects, the fluctuation of stock market has constancy and weak leverage effect. The conditional variance of stock returns series is stationary and the stock market has predictability. We can predict the volatility of stock market based on EGRACH-M (1, 1) models.