收益率主观分布与常用分布的拟合能力比较

A Comparison between the Subjective Distribution and the Familiar Distributions of Returns in Fitness

利用上海A股数据,将收益率主观分布模型与t分布、双正态混合分布、稳定分布和正态分布进行分布拟合比较。χ2检验表明:0.05水平下,沪市69.56%股票的收益率分布认为符合收益率分布主观模型,而接受t分布、双正态混合分布、稳定分布和正态分布假设的股票分别为56.31%、44.80%、46.06%和1.74%.

Using empirical data of Shanghai A-share, the paper compares subjective distribution with t distribution, mix-double normal distribution, stable distribution, and normal distribution. The chi-squared test show： at the 0. 05 level, 69.56% of the stocks give an acceptable fit for subjective model of the distribution of returns, while 56.31%, 44. 80%, 46.06＂% ,and 1.74 % for t distribution, mix-double normal distribution, stable distribution and normal distribution.