表 1：股指收益的基本统计结果

Size: px

Start display at page:

Download "表 1：股指收益的基本统计结果"

趣蔡
7 years ago
Views:

1 CFEF RR/4/6

2 6 * Scaled- VaR Scaled- Scaled- Scaled- Scaled- VaR Kendall(1953) Osborne(1959) VAR Rsk Mercs, Alexander 1961 Osborne * MADIS

3 Peers S&P5 Peers 1991, Smh 1981 Gray French 199Per 1994 Hsu 198 Gray French 199 Press 1967 Kon 1984 Praez 197 Blaberg Gondes 1974 Gray French 199 Felpe Javer (1997) Scaled- Scaled- Praez 197 Scaled ARCH Parean 3 JB 1 3 D Scaled- 1 1 Scaled- suden's dsrbuon (noncenral dsrbuon) Scaled- v

4 VaR Scaled- Scaled- Scaled- Praez 197 Scaled = 1*log( I / ) R I 1 I Monday effecs A 1 GB D D 5 D D n Y Y.5 Y Logsc Dsrbuon 1/ [ v/( v )] 3 3 Scaled- Scaled- 5 Scaled-

5 x µ exp( ) f( x) = α x µ α[1 + exp( )] < µ µ < α α > ER ( ) = µ Var( R ) = πα /3 Scaled- α R v + 1 Γ( ) ( ) Scaled- ( ) x µ f x = [1 + ] v Γ( ) π( v ) ( v ) Γ(.) µ < µ < > v R Scaled- v > ER ( ) = µ v+ 1 Var( R ) = 3 Exponenal Power Dsrbuon 1 x µ 1+ β exp[ ] α f( x) = 3+ β ( ) 3+ β αγ( ) < µ µ < α α > < β 1 β 1 β 1< β < β = < β 1 R ER ( ) = µ Var( R ) Γ [3(1 + β ) / ] α Γ [(1 + β ) / ] 1+ β = 4 Mxures of Two Normal Dsrbuons ( x µ 1) 1 1 e, λ π1 f( x) = ( x µ ) 1 e, 1-λ π µ < µ < > λ µ 1-λ µ 1 1

6 R ER ( ) = µ = λµ + (1 λ) µ Var( ) = λ [( µ µ ) + ] + (1 λ )[( µ µ ) + ] 1 R 1 1 λ [( µ 1 µ ) + 3( µ 1 µ ) 1 ] + (1 λ )[( µ µ ) + 3( µ µ ) ] k = 3/ { λ [( µ 1 µ ) + 1] + (1 λ )[( µ µ ) + ] } 3 3 µ µ α µ Scaled v µ α β µ µ λ k

7 1 3 µ Scaled Scaled β β β = β 1 β 4 k (, 9) [ 9, 8) [9, ) ν p ( ν np) ν V = p np n = 1 V ν p 4 n 4 V V 1.555e e e e+3 Scaled e e e e+ V ( ν np ) V np

8 ν p n ( ν np ) np 1.e+11 * V Scaled-.1 ( ν np ) Scaled- Scaled np ( ν np ) 1 np Scaled- (, 9).6 [9, ).8153 VaR VaR Value a Rsk Prob( P VaR) =C C P VaR 5 VaR Scaled- 1% % % VaR

9 Scaled- 1% % % VaR VaR Scaled- 5 6 VaR Scaled- VaR 5%Scaled- VaR 5% 1% VaR 1% 7 95% VaR Scaled- VaR % VaR VaR 5% Scaled- VaR -.8% Scaled- 3 Scaled- 8 8 Scaled- Scaled- Scaled- [R,R + S] [R + S,R + S] [R + S, R + 3S] [R + 3S, R + 4S] 5.75e e [R + 4S, R + 5S].33e e

10 [R + 5S, R + 6S] 1.14e e e e-5.7 Scaled- Scaled- R S 5 [R,R + S] Scaled- Scaled- 8.9 Scaled e e+6 [R + 5,R + 6 ] Scaled- A Scaled- Scaled- Scaled- Scaled- VaR Scaled- Scaled-

11 Scaled

12 Scaled Scaled Scaled- 3 3

13 1 3 1 * Scaled- -.,. Scaled- Praez(197) Scaled- Praez 1959 Osborne (M. Osborne, Brownan moon n he sock marke, Operaons Research, 7(1959): ) p y= ln( p / p ) + τ + τ y exp( y / τ ) f( y) = 1 π τ y Praez Osborne g ( ) 1 f y ( ) exp( y / τ ) = π τ y τ y µ f y ( ) exp[ ( y µ ) / ] = 3 π h(y) y ( ) ) hy = f( y ) g( d 4 Raffa Schlafer g ( ) g ( ) v v v/ ( 1) = e v Γ( v /) ( v / 1) 5

14 E 4 = ) Var( ) = /( v / ) ( g ( ) Raffa Schlafer 4 Scaled- 4 v v/ ( 1) ( v / 1) hy ( ) = e d Γ( v /) v exp[ ( y µ ) / ] v+ π v v v/ ( y µ ) + ( v ) ( 1) exp[ ] = d v+ 3 π Γ( v /) ( y µ ) + ( v ) z = v v v/ ( 1) hy ( ) = [( y µ ) + ( v ) ] exp[ zz ] dz π Γ( v /) ( v+ 1)/ ( v+ 1)/ ( v 1)/ v + 1 Γ( ) ( y µ ) = [1 + ] Γ( v/ )[( v ) π] ( v ) 1/ ( v+ 1)/ 6 1/ h(y) v [ v/ ( v )],y Scaled- Scaled- y Scaled- µ v Scaled- : 1. Gray, B. and D. French 199. Emprcal comparsons of dsrbuonal models for sock ndex reurns Journal of Busness, Fnance & Accounng,17, Peers, E. (1991).Chaos and Order n he Capal Markes. A New Vew of Cycles,Prces and Marke Volaly. John Wley and Sons. 3. Felpe, A. and Javer, E. (1997).Emprcal dsrbuons of sock reurns 1,Scandnavan Secures Markes ,Carlos III Unversy 4. Per, A.(1994). The Dsrbuon of Sock Reurns: Inernaonal Evdence. Appled Fnancal Economcs,4, Praez P.(197). The dsrbuon of share prce changes. Journal of Busness,45, Campell, Y.,Lo, W. and Macknlay, A (1997). Economercs of Fnancal 4 H. Raffa and R.Schlafer Appled Sascal Decson Theory Harvard Busness School,1961

15 Markes, Prnceon Press 7. Bennnga S. and Wener Z. (1998), Value-a-RskMahemaca n Educaon and Research,Vol.7 No.4, Press J.(1967), A Compound evens model for secury prces. Journal of Busness,4, , 1 7, , , , , , ,, 3, 3, R/S 1 1, , Emal: jcdonglc@gscas.ac.cn

现代天文学7.ppt

现代天文学7.ppt 1983 1983 1 H 1 He 4 C 12 O 16 1 2 6 8 X A Z 2 19 α β γ F ( g) = Gmm' / d 2 F ( e) = qq' / d 2 F( e) / F( g) = 2.3 10 39 1919 α, 1930 α Be 3 4 6 6 4 4.0291 4.0015 0.0276 E=mc 2 4.12 10