Abstract
The empirical results show that the AIGARCH (1, 1) model is appropriate in evaluating the volatility model of the Hong Kong’s stock market. The empirical result also indicates that the Hong Kong’s stock market has an asymmetrical effect. The volatility of the Hong Kong stock market receives the influence of the good and bad news of the Japan, the U.K. and the Canada stock markets. For example, under the RJAPANt 0 (good news), the RUKt 0 (good news) and the RCANAt 0 (good news), the variation risk of the Hong Kong stock market is the highest ( 81 0.9879 ). Under the RJAPAN t 0 (bad news), the RUKt 0 (good news) and RCANAt 0 (bad news), the variation risk of the Hong Kong stock market is the lowest ( 31 0.8242 ).
