Analysis on the Volatility of Sustainable Stock Index and Traditional Stock Index Based on GARCH Model

Abstract

In this paper, ARMA-GARCH model and TARCH model are adopted to describe the fluctuation characteristics of two groups of social responsibility indexes and two groups of traditional market indexes. The results show that the four groups of indexes have the characteristics of volatility clustering, and the long-term and short-term volatility is persistent. The two sets of CSR indices are closer to developed market indices than emerging market indices. TARCH model results show that the four groups of index rate of return sequence indicate that the impact of information shock has asymmetric leverage effect on bad news. That is, bad news causes more volatility than an equal amount of good news. Comparing the leverage effect of index returns in developed and emerging markets, developed markets are more sensitive to bad news than emerging markets