author: 1.Xia Tian 2.Hu Ri-dong 3.Chen Yan-wu

(CollegeofCommerceofHuaQiaoUniversity,QuanZhou,FuJian,China362021)

Abstract:In this paper, we take the stock index of Shanghai and Shenzhen markets as the research object and introduce the trading volume、the trading volumeconsidering the autocorrelation、theDay-of-the-week Effect and the trading volume which is divided by“good news”and“bad news”into the GARCH model as well as EGARCH model. The study finds that the trading volume has already had the explanation effect to the volatility of the stock index to a certain extent. But the trading volume considering the autocorrelation can’t explain the GARCH effect of the stock price effectively.TheDay-of-the-week Effect has the function on the explanation which adds fuel to the flames regarding the trading volume to the stock price volatility. the trading volume which is divided by“good news