深沪股市日对数收益率的统计分析.pdfVIP

34 3 () http: / /www. kustjourna.l com / ol. 34 No. 3 2009 6 Journal ofKunm ingUniversity of Science andTechnology ( Science andTechnology) Jun. 2009 do:i 10. 3969/j. issn. 1007- 855x. 2009. 03. 026 1 2 2 左艳芳 , 戴 琳, 吴刘仓 ( 1. , 650033; 2. , 650093) : 利用广义双曲分布族中的正态逆高斯分布, 结合M atlab, Eviews和 SPSS统计软件, 对深 沪股市A股的收盘价 对应的日对数收益率进行了统计分析研究. 实证研究结果显示, 利用广 义双曲分布拟合股价日对数收益率比正态分布拟合效果好.从而为广大投资者提供决策依据. : 广义双曲分布; 尖峰;厚尾; 收益率 : O212 : A : 1007- 855X( 2009)03- 0112- 05 StatisticalAnalysis of Log- Return Series of Shenzhen an Shanghai StockM arket 1 2 2 ZUO Yan-fa ng , DA I L ni , W U L iu-cang ( 1. Faculty ofSocialScience and Public Education, KunmingM etallurgy College, Kunm ing 650033, China; 2. Faculty of Science, Kunming University of Science and Technology, Kunm ing 650093, China) Abstract: The normal inverseGaussian distribution of the generalized hyperbolic distribution group andMatlab, Eviews and SPSS statistical software areused to study the distribution of the log- return series ofA- share stock marketps closing price in Shenzhen and Shanghai stock markets. The empirical results show that the generalized hyperbolic distribution fits the log- return better than thenormaldistribution. Key wor s: generalized hyperbolic distribution; sharp- kurtosis; fat tails; return rate 0 ,. , , , ,. [2~ 5, 10] , . Barndor- [3] ff) Nielson , .( hyperbolic distribution)( normal inverse Gaussian distribution, NIG)t variance gamm a, . , . , Bessel, . , A . , . ,. : 2008- 08- 28.: (: 07L00001), (: 2006- 28). : ( 1963- ), ,, .: . E- m ail: yfzuo8888@ 163. com 3