Empirical analysis of stock returns volatility in China market based on Shanghai and Shenzhen 300 Index

Based on Shanghai and Shenzhen 300 Index, this paper firstly uses such GARCH family models as EGARCH, TGARCH, etc to analyze the volatility of the stock returns series of A share in China. In conclusion, the stock returns series is stationary and has a outstanding ARCH effect. There is a volatility clusters in China stock market. Moreover, a negative shock return generates more volatility than a positive shock of equal magnitude. Thus, the volatility of stock returns has the leverage effect. It can be said that the asymmetrical effect in China stock market is outstanding.