统计研究 ›› 2006, Vol. 23 ›› Issue (10): 68-71.

• 论文 • 上一篇    下一篇

股票收益率波动和极值关系研究

柳会珍; 顾岚   

  1. 北京化工大学;中国人民大学统计学院
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2006-10-15 发布日期:2006-10-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2006-10-15 Published:2006-10-15

Abstract: Abstract:Nonlinear time series models GARCH and Extreme value theory are employed to explore the relationship between the volatility and exreme value of stock returns. Given the pass information, we assume the innovation follows the conditional t-distribution and generalized error distribution, then we fit ARMA models to the return level and GARCH, EGARCH and TGARCH models to the volatility of the rerurn. Finally we obtain the tails indices for the innovation and the returns by using the statistical extreme value method, and the statistical results show that the tail indices of returns coincide with the one of innovations for the EGARCH models.