金融市场极端日收益数据的广义Pareto分布拟合

本文基于极值理论和方法建立了上证综合指数极端日收益率的广义Pareto模型,并利用所得的模型计算出日收益率的返回水平及其上尾概率。将估计的日收益率模型比较得出,在实施涨跌停板前,日收益率的上尾明显厚于实施涨跌停板后的上尾,说明了实施该制度可以有效的控制股票市场的投机现象,从而降低投资者的收益损失风险。

Fitting Generalized Pareto Distribution to Extreme Daily Return in Financial Market

Based on extreme value theory and methods,generalized Pareto models are established to extreme daily return to Shanghai stock index,and return levels and upper tail probability are worked out by using the models.Compared with after implementing the system of stopping board of rise and drop,the upper tail of the return before this system is apparently heavier,and this result illustrates the system can efficiently control the speculation phenomena in stock mafket,therefore reduces the profit and loss risk.