Modeling Chinese stock markets´ volatility

Two stock markets exist in China: Shanghai Stock exchange and Shenzhen Stock exchange. Many investors want to know the behaviors of stock returns´ volatilities. We use GARCH and SV models to estimate them. In order to do full and comprehensive analyses, we use most of the historical data and different data frequencies of the two Chinese markets. We find that estimated values of volatility parameters are very high for all data frequencies. It suggests that stock returns are extremely volatile even at long term intervals in Chinese markets.