上证综合指数收益率的统计分析

Statistical Analysis of Return Rates of Shanghai Stock Market Price Integrated Index

本文就上证综合指数收益率是否服从正态分布给出两种具体检验方法,得出了上证综合指数收益率分布具有尖峰和厚尾的特性,因此实际中指数收益率服从正态分布的假设是不合理的。从而用能反映尖峰厚尾特征的t分布进行拟合,得出上证综合指数收益率符合t3分布。

Two specific tests are presented on whether the return rates of Shanghai Stock Market price integrated index obey normal distribution or not. The results show that the return rates have the characteristics of high-peaked and heavy-tailed distribution and thus the assumption,in theory and prctice, that stock market price integrated index obey normal distribution is unadvisable. Thus, we use t distribution that can reflect the characteristics of high-peaked and heavy-tailed to fit real data, and we obtain the result that return rates of shanghai stock market price integrated index obey t3 distribution.