深沪股市日对数收益率的统计分析

Statistical Analysis of Log-Return Series of Shenzhen and Shanghai Stock Market

利用广义双曲分布族中的正态逆高斯分布,结合Matlab,Eviews和SPSS统计软件,对深、沪股市A股的收盘价所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.

The normal inverse Gaussian distribution of the generalized hyperbolic distribution group and Matlab, Eviews and SPSS statistical software are used to study the distribution of the log - return series of A - share stock market＇s closing price in Shenzhen and Shanghai stock markets. The empirical results show that the generalized hyperbolic distribution fits the log- return better than the normal distribution.