Empirical Analysis of GARCH Effect for Mixed Jump of Shanghai Security Index

Absorbing exchange rate as exogenous disturbance, a mixed GARCH-jump model is proposed to compare return series fluctuation of Shanghai composite index with that of Dow Johns Index. It also incorporates properties of asymmetry, clustering, leptokurtosis and fat-tail of index series fluctuation into an integrated analytic frame of so-called diffusion-jump. Fitness test of GARCH-jump model proves that abnormality of return series fluctuation of emerging markets can be more effectively explained by it than by single model.