Abstract
ARCH model is a kind of dynamic non-linear time series model. It reflects a special feature of economic variables time-varying variances. As a new theory, ARCH model has caused extensive interests of economists and has been developed very fast since it came into being. Now it is being widely used in economic and financial fields. Chinese stock market grows fast and has made great progress since it was founded. However our country ’s stock market is very young, and the market risk and volatility is much larger than that of foreign markets, so it is very necessary to study the volatility character of it.
In this text，Shanghai stock composite price index will be regarded as the main study object and describe the volatility character with the statistic software EViews5.0.
Main characteristics, such as excess kurtosis, rate of return and risk fluctuate in the same direction, asymmetric effect of the series dates volatility will be founded through ARCH model on China’s stock market.
