Empirical Analysis of China’s Stock Market Volatility Based on Markov Switching GARCH Model

Abstract

This paper introduces the Markov switching GARCH (MS-GARCH) model by GARCH family model to conduct an empirical research on the adverse effects of repeated violent fluctuations in China's stock prices due to the increasingly obvious economic impacts between countries. The empirical results show that, comparing to the traditional GARCH family model, the MS-GARCH model considers the endogenous transfer mechanism of stock market volatility, which fits the volatility of Chinese stock market more accurately and is better than the GARCH family model.