| 证券市场指数的尖峰厚尾特征与风险量估计 |
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| 引用本文： | 杨昕.证券市场指数的尖峰厚尾特征与风险量估计[J].数学的实践与认识,2012,42(16):21-28. |
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| 作者姓名： | 杨昕 |
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| 作者单位： | 广西财经学院国际教育学院,广西南宁,530003 |
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| 基金项目： | 国家自然科学基金，广西自然科学基金 |
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| 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.
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| 关 键 词： | 证券指数 尖峰厚尾 Logistic分布 风险量 |
The Characteristics of Excess Kurtosis and Heavy-tail of Stock Market Indies and the Estimation of Risk Measures |
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| YANG Xin.The Characteristics of Excess Kurtosis and Heavy-tail of Stock Market Indies and the Estimation of Risk Measures[J].Mathematics in Practice and Theory,2012,42(16):21-28. |
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| Authors: | YANG Xin |
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| Institution: | YANG Xin (College of International Education,Guangxi University of Finance and Economics,Nanning 530003,China) |
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| Abstract: | The empirical analysis of the four stock market indies of DOW,Nasdaq,S&P500 and FTSEIOO 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 same 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. |
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| Keywords: | stock market indies excess kurtosis and heavy-tail Logistic distribution risk measures |
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