The ARCH model applicationon on the securities volatility

According to the efficient market theory, we Select the composite index from Shanghai stock market as a sample, and use random walk process of indexes to test the validity through the ARCH model which can be validated the predictability of Shanghai stock market, the empirical results shows that(1) Shanghai stock market High frequency data rate of return shows the fat-tailed distribution characteristics, as well as the normal distribution assumption: (2)the quantitative characteristics of Intraday volatility exit in Shanghai stock market (3) the leverage effect, volatility clustering and volatility persistence exist in the Shanghai stock market.