An Empirical Detection to the Fat-Tail Distribution of the Returns in Shanghai Securities Exchange
关于上海股市收益厚尾性的实证研究

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.