generalizedskewtdistributionoflog-returnrateinstockmarket.pdfVIP

Statistical and Application 统计学与应用, 2014, 3, 141-147 Published Online December 2014 in Hans. /journal/sa /10.12677/sa.2014.34019 Generalized Skew t Distribution of Log-Return Rate in Stock Market Xin Yang Department of Mathematics, Guilin University of Aerospace Technology, Guilin Email: xinyang_emily@ th th th Received: Sep. 12 , 2014; revised: Oct. 11 , 2014; accepted: Oct. 20 , 2014 Copyright © 2014 by author and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract The main aim of this paper is to study the distribution characteristics of log-return rate in stock market. The closing data of a year trading day of the 6 indexes (the Shanghai composite index, Shenzhen stock index, industrial index, real estate index, consumer services index, and food and beverage index), are done with the empirical analysis by using the statistical methods. Results show that the log-return rates of the stock indexes do not obey the normal distribution, with the characteristics of high peak, heavy tail and skew distribution. And results also show that the log-return rates are with high probability to be accepted as obeying the generalized skew t distri- bution. So the generalized skewed t distribution is a reasonable distribution to research the log-return rate of stock market. Keywords Stock Index, Log-Return Rate, Generalized Skewed t Distribution 证券市场对数收益率的 广义偏斜t分布 杨 昕 桂林航天工业学院，数理部，桂林 Email: xinyang_emily@ 收稿日期：2014年9月12 日；修回日期：2014年10月11 日；录用日期：2014年10月20 日 141 证券市场对数收益率的广义