Author(s)

Ailing Li, Bingjie Suo, Hanwen Chen

Corresponding Author

Ailing L

ABSTRACT

The “Fourteenth Five-Year Plan” of China's wine industry development guidelines and other policies continue to encourage the innovative development of the liquor industry. Financial instruments ultimately work in the real economy. Among the six stocks listed in the liquor sector, Guizhou Maotai has the highest market capitalization, and the changes in its return volatility have long been concerned and discussed by investors. In this paper, we select the daily price and daily trading volume data of Guizhou Maotai stock (600519) from July 12, 2017 to March 15, 2022, and obtain the sample data by logarithmic processing. This paper first models Guizhou Maotai stock returns based on GARCH-like models, and then conducts forecasting studies on its volatility. Then, the logarithmically processed daily trading volume of Guizhou Maotai stock is used as an exogenous variable to study its impact on Guizhou Maotai stock return.

KEYWORDS

Garch model, Garch-x model, Guizhou maotai stock yield, Day trading volume