中国股票市场的收益分布及其SPA检验

以上证综指和代表性波动周期为例,采用样本外的滚动时间窗预测法,计算了不同收益分布假设下的波动率模型对指数波动率的预测值,并进一步运用基于自举法的SPA检验,评估了各种分布假设对上证综指波动的预测精度.实证结果显示:就中国股市而言,有偏分布能够提供最优的波动率预测精度;在某些损失函数标准下,广义误差分布也具有较好的预测表现.

Return Distributions in Chinese Stock Market and Their SPA Test

Take the most important stock index in Chinese stock market as sample,volatility predicting results are computed based on different return distribution hypothesis and out-of-sample rolling time windows method.Using bootstrapping SPA test,we compare the predicting performance of different distributions.The empirical results show that,for Chinese stock market,skew-t distribution is the best one for volatility forecasts.Under some kinds of loss function,GED distribution else performance quite well.