Using the data of Shanghai stock index in recent 11 years,the distribution of its return rate is studied.Firstly,it is verified that the return of Shanghai stock index does not conform to the normal distribution,and has the properties of sharp peak,thick tail and asymmetry.Secondly,logistics distribution,t distribution,q-Gaussian distribution,g-h distribution and normal inverse Gaussian distribution are used for parameter estimation and image fitting respectively.Finally,by comparing the distribution function curves of the five distributions with the cumula-tive probability distribution curves of the data,the goodness of fit and the mean square error root are calculated to perform the goodness test,and the conclusion is drawn that the fitting results of the normal inverse Gaussian distribution are optimal.
关键词
收益率分布/尖峰厚尾/正态逆高斯分布/g-h分布
Key words
yield distribution/peak thick tail/normal inverse Gaussian distribution/g-h distribution
维普
万方数据