Empirical analysis of A-share market index yield series based on GARCH-M model

GARCH model is used in the analysis of financial time series widely, the model can simulate financial time series. The domestic implementation loosed monetary policy because of the domestic individual investors investment enthusiasm rising. Under the background large amounts capital surplus, this paper research A-share market index volatility characteristics through stationary, ARCH effect test, then it established GARCH, Garch-M, EGARCH dynamic time series model. The conclusion is Garch-M model has the best fitting effect for A-share market index yield.