股票收益率的尖峰厚尾分布本科生毕业（设计）论文.doc

股票收益率的尖峰厚尾分布 FAT TAIL DISTRIBUTION OF STOCK RETURNS 指 导 教 师： 申请学位级别： 学士 论文提交日期： 2014 年6 月 摘 要 在经济活动占主导地位的现代社会里，不管是各国的金融机构、监管当局还是社会各界都对收益率寄予了极大的关注。：；；； ABSTRACT In morden society where economic activity is predominant, whether the national financial institutions , regulatory authorities or the communities pay great attention to the rate of return. In a very long time people have assumed that the yield is normally distributed in its study of the rate of return, but the empirical distribution visualize that normal distribution is not a good fit yield to match distributed characteristic of rate of return , domestic and overseas also made a profound exploration to the findings and used a lot of the distribution function to fit the distribution of yields. Although the study found that there are a lot distributions to yield’s imitative effect that are superior to normal function, what distribution the yield obedient to has been no conclusive. Making clear that what distribution stock returns and other financial time series data obey is critical to the financial risk, a large number of studies have shown that stock returns and other financial time series data is a distribution of fat tail,and the normal distribution and t distribution can not describe its distribution feature. On the basis of a linear regression analysis the article proposes a fat tail,peaked and skewed distribution, and makes an empirical analysis to the Shanghai and Shenzhen stock yields, giving the parameter estimation method, the distribution can well describe the Shanghai and Shenzhen stock market’s returns distribution rates. In the process of parameter estimation , this paper uses two types of method to estimate parameter, one is the directly using maximum likelihood estimation, the other is a linear regression and maximum likelihood estimation combined to estimate the density function of yields the parameters, the realization of these two methods is with the help of the MATLAB mathematical softw