证券市场指数的尖峰厚尾特征与风险量估计  

The Characteristics of Excess Kurtosis and Heavy-tail of Stock Market Indies and the Estimation of Risk Measures

作　　者：杨昕[1] 

机构地区：[1]广西财经学院国际教育学院,广西南宁530003

出　　处：《数学的实践与认识》2012年第16期21-28,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11061007);广西自然科学基金(2011GXNSFA018133)

摘　　要：在对DOW,Nasdaq,S&P500和FTSE100等四个证券市场指数进行实证分析基础上,展示了证券市场指数的对数收益率具有尖峰厚尾的分布特征,并利用Logistic分布得到了很好的拟合,同时给出了基于Logistic分布的风险量VaR和CVaR的估计公式,以此计算证券市场指数的对数收益率的风险量VaR和CVaR的估计值.The empirical analysis of the four stock market indies of DOW, Nasdaq, S＆P500 and FTSE100 illustrates that the distributions of the log returns have the characteristics of excess kurtosis and heavy-tail, and that Logistic distribution fits very well for the returns. At the dame time, the estimation formulas of the risk measures VaR and CVaR based on Logistics distribution are given, and the risk measures of the log returns of the four stock market indies are reported.

关 键 词：证券指数 尖峰厚尾 Logistic分布 风险量 

分 类 号：F224[经济管理—国民经济] F830.91