Study on the Volatility of New Energy Index Based on ARMA-GARCH Model

Yihan Gao

doi:10.62051/ijcsit.v4n3.37

Authors

Yihan Gao

DOI:

https://doi.org/10.62051/ijcsit.v4n3.37

Keywords:

New energy, GARCH model, Stock price

Abstract

New energy industry is an emerging industry in China with natural environmental protection attributes. However, new energy stock prices have fluctuated frequently in recent years, destabilising the market and affecting investment. Therefore, the article selects the daily closing prices of CSI New Energy Index from 1 August 2019 to 1 July 2024, and establishes a GARCH (1, 1) model through Eviews 13.0 to study the volatility of new energy stock prices in China. The results show that the new energy stock price return series has volatility aggregation and exhibits the characteristics of sharp peaks and thick tails.

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