Content area
Abstract
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.
Details
Title
A Statistical Analysis of Chinese Stock Indices Returns From Approach of Parametric Distributions Fitting
Author
Si, Yuancheng 1
; Nadarajah, Saralees 2
1 Anhui Agricultural University, School of Science, Hefei, P.R. China (GRID:grid.411389.6) (ISNI:0000 0004 1760 4804); Bank of HuZhou, Zhejiang, P.R. China (GRID:grid.411389.6)
2 University of Manchester, Department of Mathematics, Alan Turing Building, Manchester, United Kingdom (GRID:grid.5379.8) (ISNI:0000000121662407)
; Nadarajah, Saralees 2 1 Anhui Agricultural University, School of Science, Hefei, P.R. China (GRID:grid.411389.6) (ISNI:0000 0004 1760 4804); Bank of HuZhou, Zhejiang, P.R. China (GRID:grid.411389.6)
2 University of Manchester, Department of Mathematics, Alan Turing Building, Manchester, United Kingdom (GRID:grid.5379.8) (ISNI:0000000121662407)
Pages
73-88
Publication year
2023
Publication date
Feb 2023
ISSN
21985804
e-ISSN
21985812
Source type
Scholarly Journal
Language of publication
English
ProQuest document ID
2768591569
Copyright
© The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2022.