摘要
After the 2007 financial crisis,the world's major stock indexes have fluctuated greatly,and the investment risk of the stock market has increased.This thesis carries out volatility analysis and risk analysis for CSI 300 Index before and after financial crisis through GARCH-VaR model.After comparing the result with the stock market in developed countries,the paper will put forward appropriate suggestions for China's stock market based on the experience learnt from other mature stock markets,in order to reduce the risk of Chinese financial market and make it gradually move towards mature financial market.The main contents of this paper include:First,the paper selects index data from January 1,2005 to December 31,2016 and perform descriptive statistical analysis;Secondly,the paper uses the Var method of various GARCH family models to forecast the future risk of CSI 300 stock market to find the optimal model of it.Thirdly,based on the literature review and empirical results,the paper concludes the volatility factors of Chinese stock market and puts forward some suggestions.The empirical results show that before the financial crisis,CSI 300 index appeared significant volatility before and during the financial crisis.Moreover,after financial crisis,the volatility of CSI 300 still remains high.Based on the literature review,it is found that it is policy intervention,retailers,speculation and other reasons that lead CSI 300 index to high volatility.Therefore,in response to these problems,the thesis put forward some related suggestions to improve the Chinese stock market management mechanism,including less intervention,stricter supervision,setting barriers,etc.
