Generalized Skew t Distribution of Log-Return Rate in Stock Market
作者: 杨 昕 ：桂林航天工业学院，数理部，桂林;
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.
文章引用: 杨 昕 (2014) 证券市场对数收益率的广义偏斜t分布。 统计学与应用， 3， 141-147. doi: 10.12677/SA.2014.34019
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