Volatility Characteristics of CSI 300 Index Returns: Evidence from GARCH-Family Models
Financial asset returns exhibit volatility clustering, heavy tails, and conditional heteroskedasticity commonly. Modeling the volatility process is therefore important for understanding risk in equity markets. This study examines the log returns of the CSI 300 Index from April 8, 2005, to December 31, 2025, using GARCH-family models. The results reveal pronounced non-normality, heavy tails, and volatility clustering. Market volatility is also highly persistent. The magnitude of market shocks has a significant effect on conditional volatility, whereas the asymmetric term that captures differences between positive and negative shocks is not statistically significant. Thus, the sample provides insufficient evidence of a significant leverage effect in CSI 300 Index returns. The main findings remain robust to alternative conditional distributions, mean-equation specifications, and subsample periods. Using data spanning more than two decades, this study re-examines the dynamic volatility of CSI 300 Index returns and provides new empirical evidence on volatility persistence and asymmetry in China’s equity market.
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