A Statistical Analysis of Chinese Stock Indices Returns From Approach of Parametric Distributions Fitting

被引：0
|
作者：
Si Y. [1 ,3 ]
Nadarajah S. [2 ]
机构：
[1] School of Science, Anhui Agricultural University, Anhui, Hefei
[2] Department of Mathematics, Alan Turing Building, University of Manchester, Oxford Road, Manchester
[3] Bank of HuZhou, Zhejiang
来源：
Annals of Data Science | 2023年 / 10卷 / 01期
关键词：
Generalized t distribution; Maximum likelihood; Stock indices;
D O I：
10.1007/s40745-022-00421-9
中图分类号：
学科分类号：
摘要：
The stock price process in China is full of uncertainty hence the stock indices were introduced to serve as indicators of the financial market. How to capture the statistical characteristics of Chinese stock indices returns by the method of parametric distributions fitting could be useful in the fields of econometrics and risk management. In this paper, we use a wider range of parametric distributions to model four main Chinese stock indices. We find a generalization of the Student’s t distribution is shown to provide the best fit. © 2022, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.
引用
收藏
页码：73 / 88
页数：15
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