Study on Tail Distribution of Stock Returns ' VaR

股票收益率风险价值的 尾分布研究

A Study On Tail Behavior for Stock Returns Distribution

股票收益率分布的 尾部行为研究

This paper researches the tail-index estimate of Shanghai-Shenzhen stock index returns and analyzes the tail change of stock index returns before daily price limit and after daily price limit .

应用HKKP估计方法对沪深股指收益率的尾指数进行估计，并对涨跌停板前后 股指收益率 尾部的变化状况进行分析。

The former is a simple but useful system . The latter describes the phenomena of fat tail distribution of log-return in stock market which is a complex system .

前一个系统是典型的简单系统，而后一个模型描述了 股票市场中对数收益率的胖 尾分布现象，对应的系统是典型的复杂系统。

However given the non-normality of financial time series the fat tail characteristics the index volatility of conditional heteroscedasticity will affect the empirical test results this paper uses the GARCH ( 1 ) model to simulate the volatility of the stock market .

但是，鉴于金融时间序列的非正态、尖峰厚 尾特征，指数波动性存在条件异方差性，会影响实证检验结果，因而本文采用GARCH（ 1）模型来模拟 股市的波动性。

Furthermore establishes measures of extreme value VaR and ES and portrays risk characteristics of return jump tail in China Stock Market .

进一步，构造极值VaR与ES风险测度，对中国市场 资产收益率跳跃性 尾部风险特征进行研究。

Tail Index Estimation of Heavy-tailed Distribution and Empirical Analysis of China s Stock Markets ; limited range provenance trial

重尾分布的 尾部指数估计及沪深 股市实证分析局部分布区产地试验

Non-parametric estimations reveal that the fat tail of the distribution of stock return satisfies power law decay .

非参数估计显示 股票收益分布的非正态性及肥 尾现象，其 尾部满足幂律衰减。

For this reason this paper base actual data of the essence characteristic to discuss calculate formula VaR means in the the aiguille and fat tail branch and make use of the calculate formula to carry out demonstration analysis for the stock market .

为此，本文从实际数据的基本特征出发，讨论了VaR方法在尖峰、胖 尾分布中的计算公式，并使用该计算公式对我 国 证券市场的实际数据进行了实证分析。

The experimental study on the influence of the exerted length of tail - stock sleeve on the static rigidity of lathe

车床 尾座 套筒伸出量对车床静刚度影响的试验分析

But lots of phenomena on the capital market can 't explain with the EMH such as high peak and fat tail in security returns the sudden collapse in stock market and long-memory in stock series .

但很多资本市场上的现象无法用EMH解释，如证券收益的尖峰厚 尾， 证券市场的突然崩溃，股价序列的长期记忆性等。

An empirical detection to tail of the log-daily returns in Shanghai stock market

关于上海 股市指数日收益 尾部的实证研究

A horse with a golden or tan coat and a white or cream-colored mane and tail thought to have been developed from Arabian stock .

鸠形马一种全身金黄色或淡棕色的马，鬃和 尾是白色或奶油色，被认为是从阿拉伯系发展来的。

Research on Soil Remediation with Sisals in Iron Mine Tail Stock

剑麻对铁矿 尾矿 库土壤修复的试验研究

The traditional normal distribution cannot be well fitting of the tail of the data thus it causes the setting of the margin unreasonable . So in the stock index futures market the probability of the loss is higher than the estimation of normal distribution .

传统的正态分布不能很好地对数据 尾部加以描述，从而造成了对 保证金设定的不合理，使得现实中发生严重亏损的概率远远大于在正态分布下的估计。

Extreme Value theory can simulate the risk of tail of the stock index futures well . And then it can calculate the VaR and ES .

极值理论对 股指期货数据 尾部的风险可以很好的进行模拟，从而得到在险价值和期望损失。

An Empirical Analysis of the Heavy Tail of the Returns in Stock Market

关于 股市重 尾现象的实证研究