【摘要】 根据多元t分布的定义及性质,推导出二维t分布随机变量差的条件分布仍服从t分布.在假定股票价格对数与收益率服从二维t分布的基础上,利用该性质,可以得到不同股票价格水平条件下,收益率的一维条件t分布,进而计算出价格条件VaR.利用多元t分布研究价格条件的收益率分布问题,与正态分布相比,较好地刻画了证券收益率分布的尖峰厚尾现象.更多还原

【Abstract】 Based on the definition and properties of multivariate t distribution,this paper deduced the conclusion that conditional distribution of the random variable differential from the two-dimensional t distribution still obeys t distribution.We obtained the one-dimensional conditional t distributions of stock return in different stock price levels on the assumption that stock price logarithmic and return obey two-dimensional t distribution,and then determine price conditions VaR by calculating.Compared with normal distribution,the solution in this paper better characterizes the leptokurtic and thick tail properties of stock return distribution.更多还原