Study of ST Stock Market Volatility with Nonlinear Method

摘要

As a kind of stock treated specially, ST stock has higher risks as well as high revenues; so, it is of great significance to study the market volatility of ST stocks in Chinese stock market. The 745 index return rates of ST stocks from April 1st, 2010 to April 26th, 2013are studied with nonlinear method. It is demonstrated: ST index return rate has peak fat-tail characteristics and heteroskedasticity; the EGARCH model established on the sequences of ST index return rate shows that there is obvious leverage effect in Chinese stock market. Meanwhile, it could also be known from the study that GARCH model fits best the return rate sequence, through which short-term prediction of ST index is conducted, predicting correctly the short-term several-day movements with stable results.