股票最高价、最低价的极端值分布函数

股票最高价、最低价的极端值分布函数 The Extreme Value Distribution for the High Price and Low Price of Stocks 陈彦斌 CHEN Yan-bin 1 2 first-author 徐绪松 XU Xu-song 1 2 武汉大学商学院技术经济及管理研究所 武汉大学商学院技术经济及管理研究所 Institute of Technology Economics and Management, Business School, Wuhan University Institute of Technology Economics and Management, Business School, Wuhan University 武汉大学商学院技术经济及管理研究所,湖北,武汉,430072 武汉大学商学院技术经济及管理研究所,湖北,武汉,430072 将极端值分布函数用于股票最高价与最低价的描述.首先给出了分布函数的3个参数的估计,并改进了参数的估计方法;然后给出极端值分布在VaR、VaB中的应用;最后对于中国股票市场进行了实证分析.实证分析的结果表明,极端值分布与实际分布的拟合优度均在0.99以上. The authors introduce extreme value distribution and describe the high price and low price by it. The authors improve on the methods of estimating parameters. The authors propose the estimated parameters of distribution function for China stock market. The empirical study shows that the R squared are all more than 0. 99 and it mean that the extreme value distribution is fit for the high and low price of stock, and that the normal distribution function is not fit for the behavior of stock prices in China Stock Market. The application of extreme value distribution in VaR and VaB is also proposed in this paper. 极端值分布 收益率 正态分布 在值风险 extreme value distribution rate of return normal distribution Value at Risk F224.7 国家教育部博士点基金资助项目（01JB630009） 2002-03-01 2021-04-01 3