Research On The Time-Varying Relationship Between Macroeconomic Variables And The Stock Market Volatility Based On TVP-VAR Model

Chinese stock market is of great importance in promoting the healthy development of national economy and world economic integration. Effectively preventing risks and ensuring the safe and stable operation of the stock market is particularly crucial, which urgently needs to accurately depict the stock market volatility characteristics. Previous studies have overlooked the possible disturbances, which may cause the deviation of models with time-varying coefficients but constant volatility. For addressing this issue, this paper proposes to assume random volatilities via TVP-VAR (Time-Varying Parameter Vector AutoRegression) model estimated by MCMC (Markov Chain Monte Carlo) method. Benefited from accurately estimating and predicting, this paper provides a comprehensive interpretation of volatility effects of Chinese stock market. This paper has the important reference value for financial regulatory authorities and market investors.