The Statistical Analysis of the Log-Return Series of the Chinese Stockprices: An Application of the Generalized Hyperbolic Distributions

中国股价日对数收益率的统计分析－广义双曲分布的应用

李会琼(Hui-Qiong Li) ； 吴刘仓(Liu-Cang Wu)

《Journal of Data Analysis》 2卷2期 (2007/04) Pp. 161-178

https://doi.org/10.6338/JDA.200704_2(2).0008

摘要

本文使用广义的双曲分布（GH分布），选取了深沪两市共11只股票，对股票价格的日对数收益率的概率分布进行了深入的研究。在所有的情形，GH分布都给出了非常令人满意的拟和。这表明GH分布作为股票日对数收益率的分布，在中国股市是一个很好选择。

關鍵字

广义的双曲分布 ； 厚尾 ； Kolmogorov-Smirnov检验

並列摘要

This paper has studied the distributions of the log returns of the Chinese stock market, using the Generalized Hyperbolic Distributions (GH) as the reference distributions. The empirical results shows that in almost all the cases, both Normal Inverse Gaussian (NIG)distribution and the Hyperbolic distribution can fit the data very well.

並列關鍵字

Generalized Hyperbolic Distribution ； Fat Tails ； Kolmogorov-Smirnov test

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