股票收益率非正态性的蒙特卡罗模拟检验

3110Vol131No110200510JournalofFinanceandEconomicsOct120051,1,2(11,200433;21,200433):,1997122003919,,,,:;;;;:F830.91:A:100129952(2005)10O0034O09,,(RMantegna,1995),,VAR,,VAR(JosSantiago,2002)Mandelbrot(Mandelbrot,1963),,(,2003)(MYuRomanovsky,2002),,:2005205208:(1973-),,,;(1963-),,,;(1975-),,,43,,,(GeneralizedHyperbolicDistribution),(BarndorffONielsen,1977),(Eberlein,Keller;1985),,,:GH(x,,,,,)=g(,,,,)(2+(x-)2)/2-0125K-015(2+(x-)2)e(x-),,Kv()Bessel,g(,,,,)=(2-2)/22(-015)k(2-2):0,0,||;0,0,||;=0,0,||(=-015)(=1),199712200391916161,,1(Prause,1999)1997122003919,2(Matlab615)153:1010003-011068010159613166010940-0109332-0198992619363-111789010148010006-0150004410234-1137870101210100061100009613572-212519010023010008,KolmogorovKuiperAndersonODar2lingFOF(JosSantiago,2002):Kolmogorov:Dkol=max{|Femp(x)-Ftheo(x)|}Kuiper:Dkui=max{Femp(x)-Fteo(x)}+max{Ftheo(x)-Femp(x)}AndersonODarling:Dad=max{|Femp(x)-Ftheo(x)|Ftheo(x)(1-Ftheo(x))}FOF:DFOF=max{Femp(x)-Ftheo(x)Ftheo(x)(1-Ftheo(x))}+max{Ftheo(x)-Femp(x)Ftheo(x)(1-Ftheo(x))},Femp(x)Ftheo(x)An2dersonODarlingFOF,Kolmog2orovKuiper,AndersonODarlingFOF,,MonteCarlo1%5%10%10000,:(1)(500,1000,1500);(2),Kolmog2orovKuiperAndersonODarlingFOF10000;(3)1%5%10%,[0,1]:X=Y-f(x)dx,X[0,1],f(x),f(x),Y,,63200510(36)3(=0.0003,=0.0159)DkolDkui1%5%10%1%5%10%DadDFoF1%5%10%1%5%10%5000106930105920105320108780107530106936130112129361142316196883132082142581000010494010407010375010627010531010496418783211965113368516188311461212875150001041101034601031301050430104450104124157132116851125895146203104322116714(=-019899,=2619363,=-1.1789,=010148,=010006)DkolDkui1%5%10%1%5%10%DadDFoF1%5%10%1%5%10%50001066301058801053201088401077501068821829311903911266412930310577118669100001044201040501035501058601050301047411572011262811213621481921158811686615000104330103660103320105490104800104401141471125871121062107621184621164295(=-015000,=4410234,=-1.3787,=010121,=010006)DkolDkui1%5%10%1%5%10%DadDFoF1%5%10%1%5%10%500010744010584010522010848010746010655318685312238215790511172318551312102100001050601043101039701064301055901053321579021338621256731834531203421874315000104430104040103650105540104210103712154712127152118433142062198792164576(=110000,=9613570,=-2.2519,=010023,=010008)DkolDkui1%5%10%1%5%10%DadDFoF1%5%10%1%5%10%50001072701061501057201091301077301069211987111896911531531190321419211923210000106020104670104090107030105420105341189701156421136842189672129461190261500010443010356010317010554010458010418118370114703112646216423211094118771710,5%:7KkolDkuiDadDFOF161601080301160615214379153142575%8KkolDkuiDadDFOF16160100980101930198581142945%9KkolDkuiDadDFOF16160101230102370197621191755%73:10KkolDkuiDadDFOF16160110960117670199401118075%,:,,,,,,,,,,,,(,2002),(TVaga,1990),()(),:,,;,,,,;,,,,,;,(),,,2090,,,,;,,,(Debont,1985),(,2005),83200510,:(1);(2);(3);(4),;(5);(6)D(t)t,S(t)t,P(t)t,Pe(t)t,(t)t:D=a(Pe-P)+,S=b(P-Pe),P=c(D-S),Pe=d(P-Pe)(1),a0,b0,c0,0d1;D,S,P,Pet,;N(0,1)P(0)=10,Pe(0)=11,D(0)=10,S(0)=9a=b=015,c=011,d=016,N(0,1),t=0,1,2,,500,23,320002311JarqueOBeraPJarqueOBera2418657319854eO00611,393:(1),,,P(0)=10,Pe(0)=11,D(0)=10,S(0)=9a=b=015,c=011,d=016,La2place,:P=-85e-013tcos(011t)-195e-013tsin(011t)+585Pe=-395e-013tsin(011t)-35e-013tcos(011t)+585D=132e-013tsin(011t)+12e-013tcos(011t)+192S=-132e-013tsin(011t)-12e-013tcos(011t)+192:,(4)4,,,,,,,,04200510:[1]RMantegna,HStanley1Scalingbehaviorinthedynamicsofaneconomicindex[J]1Nature,1995,(376):46491[2]JosSantiago,FajardoBarbachan,AquilesRochadeFarias,JosRenatoHaasOr2nelas1Analyzingtheuseofgeneralizedhyperbolicdistributionstovalueatriskcalcula2tions[R]1workingpaper,2002,BancoCentraldoBrasil1[3]BMandelbrot1Thevariationofcertainspeculativeprices[J]1JournalofBusiness,1963,(36):3944191[5]MYuRomanovsky1TruncatedlevydistributionofSP500stockindexdistributionofoneOsharefluctuationsinamodelspace[J]1PhysicaA,2000,(287):4504601[6]BarndorffONielsen1Exponentiallydecreasingdistributionsforthelogarithmofparticlesize[A]1ProceedingsoftheRoyalSocietyLondonA,1977:4014191[7]EEberlein,UKeller,KPrause1NewInsightsintosmile,mispricingandvalueatrisk:thehyperbolicmodel[J]1JournalofBusiness,1998,(71):3714051[8]JosSantiago,FajardoBarbachan,AquilesRochadeFarias,JosRenatoHaasOr2nelas1GoodnessOofOfittestsfocusonVaRestimation[R]1workingpaper,BancoCen2traldoBrasil,20021[9]PrauseK1Thegeneralizedhyperbolicmodel:Estimation,financialderivatives,andriskmeasures[A]1TesedeDoutorado,UniversityofFreiburg,19991[11]TVaga.Thecoherentmarkethypothesis[J]1FinancialAnalystsJournal,1990,(46):36491[12]DebontWernerFM,RichardHThaler1Doesthestockmarketoverreact?[J]1Jour2nalofFinance,1985,(40):7938081[4],,1[J]1,2003,(2):151[10]1[M]1:,20021[13],,1[J]1,2005,(1):62721TheTestofnonOnormalDistributionofStockReturnswithMonteCarloSimulationandTheExplanationCAOZhiOguang1,WANGAnOxing1,YANGJunOmin2(1.SchoolofFinance,ShanghaiUniversityofFinanceandEconomics,Shanghai200433,China;2.SchoolofManagement,FudanUniversity,Shanghai200433,China)Abstract:Thedistributionoffinancialdataisusually(52)14:TheShockEffectofShortSellingMechanismtoEme