Verification Analysis of China Stock Risk Features Base on ARCH Models

The volatility of stock price states the uncertainty of the future price movements, that is risk. By means of the ARCH and its modified models, this paper presents a verification analysis of the volatility heteroscedasticity and the resilience to external shocks for China stock market in the past three years based on the stock index of SSE180, SZSE40, Coal, Petroleum and Finance sectors. The study shows that the volatility fluctuating of SSE180 index and SZSE40 index decays slowly, indicating that SSE180 and SZSE40 have a long-term volatility self-similarity and resilience to external shocks. The different industries have different capacity of the resilience to external shocks. The good news impact to Shanghai stock is bigger than that of bad news in upward, while there have different leverage effect in downward. And the research achievement of paper can be favor to the policies of macro-control making as well as to the investment strategies choosing.