A Statistical Analysis of Chinese Stock Indices Returns From Approach of Parametric Distributions Fitting

Yuancheng Si () and Saralees Nadarajah
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Yuancheng Si: Anhui Agricultural University
Saralees Nadarajah: University of Manchester

Annals of Data Science, 2023, vol. 10, issue 1, No 4, 73-88

Abstract: 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.

Keywords: Stock indices; Generalized t distribution; Maximum likelihood (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s40745-022-00421-9

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