对股市收益厚尾性进行了研究 ,基于极值理论利用高限峰值法 POT( Peak Over Threshold)方法以样本平均超限 ( The Sample Mean Excess Function)函数为工具 ,通过 GPD( Generalized ParetoDistrbution)模型 ,对股市收益分布尾部进行拟合探讨 ,由此给出股市收益分布尾部估计 ,并求出了尾部分位点.

Based on the extreme value theory, with the peak over threshold, this paper studies about the fat tail distribution of market return in Shanghai Securities Exchange. We employ the Sample Mean Excess Function as diagnostic tool, and conduct fitted detection to the fat-tail distribution through GPD(generalized pareto distribution) model. We estimate the risk and get the quantile of the return of the stock market.