基于g-h分布的上证指数收益率分布拟合研究  

Study on the Distribution of Shanghai Stock Index Returns Based on g-h Distribution

作　　者：陈倩[1] 李金林[1] 张伦[1] 

机构地区：[1]北京理工大学管理与经济学院,北京100081

出　　处：《中国管理科学》2008年第S1期226-230,共5页Chinese Journal of Management Science

摘　　要：本文旨在讨论上证指数收益率序列的分布特征,通过对上证指数1997年1月2日至2008年4月30日总计2700多个交易日的实证研究,发现上证指数收益率不服从正态分布,具有"有偏、尖峰、厚尾"的特性。本文将g -h分布引入收益率序列的分布拟合中,结果表明,这种分布能很好的解决收益率序列具有的"有偏、尖峰、厚尾"特性,拟合效果比用Logistic分布和t分布更好。This paper focuses on studying the distribution of Shanghai stock index returns.The empirical results using returns of Shanghai Stock Exchange,indicate that there exist obvious differences between return series and normal distribution,and the empirical distribution is characterized by asymmetry,leptokurtosis and heavy tails.In order to describe these features,a new distribution——g-h distribution is applied to analyze the empirical distribution of return.The result shows that return series conform well to g-h distribution and indicates that g-h distribution provides a better fit than Logistic distribution and Student-t distribution in terms of capturing the non-normal aspects of data.

关 键 词：收益率分布 G-H分布 有偏 尖峰 厚尾 

分 类 号：F224[经济管理—国民经济] F832.51