FENG YONGFU A, HUA XIA B and gao jinkang C

A and B SCHOOL of Finance, SOUTHWESTERN University of Finance and Economics

CHINA Research Center of Financial Law, SOUTHWESTERN University of Finance and Economics

　　bet365 best casino games This Study Investigates The Basic Numeric Characteristics of CHINESE A-SHARE Market Index Volatility (I.E., The Clustering, HeteroscedAstification, And Jumps) From the Perspective of Data Mini. It presents a theoretictical-dpirical model base on these three of the. Aximum LikeliHood Estimation to Study Chinese A-Share Market Return Data Empirically. Results show that, In Full-SAMPLE OR Special Periods, This Model Calibrates The A-Share Index Volatility Well and Simulates In-SAMPLILILILITY BEAN, Four Major Empirical Models Adopted T o standy volatility. In out-of-sample forests, This model performs better than the Other Four Models on the Value-ATE-RISK DATES, Which are the volatile days. This Model Can Also Decompose and Explain The Volatority of the CHINESE A-Share INDEX. On The Basis of Garch, This Study Revises The Volatility Model Proposed by Maheu and Extends Engle ’s Research Framework. Thus, This Model is of theRETICAL SIGNIFICANCANCE. This Model ’s Simulation and ForeCast Functioning Can CONTRIBUTE to Regulatory Management and Investment portfolio construction.

　　Keywords: INDEX, Volatility Model, Calibration Forecast