摘要
就上证综合指数收益率是否服从正态分布给出了正态概率图和JB检验两种检验方法,得出了收益率分布与正态分布有明显的偏差,厚尾现象比较严重.并且对日收益率用t分布进行拟合,效果比较好.
In terms of that composite index in Shanghai Stock Exchange (SSE) obeys normal distribution or not, two test methods which are normal probability plot and JarqueBera test (JB) are presented. It is proved that there exists obvious difference between return rate distribution and normal distribution, and that there exists serious fat tail. While day return rate in SSE is fitted by t distribution, and it can be seen that the fitting results is better than the normal distribution.
出处
《纺织高校基础科学学报》
CAS
2003年第3期246-248,256,共4页
Basic Sciences Journal of Textile Universities
基金
国家自然科学基金资助项目(10231060).
关键词
对数收益率
正态性检验
T分布
logarithmic return rate
normal distribution test
t distribution
