The mixed Gumbel distribution of stock returns
Yuepeng Chen · Journal of Huanggang Normal University · 2008
The returns of stock market should obey the normal distribution in light of the stochastic theory.However,the financial time series,such as stock index returns,are of high peaks and heavy tails.On the basis of the extreme events theory,a mixed distribution model is presented.The mixed distribution is fitted to stock index returns from Shenzhen stock exchange.It's demonstrated that the mixed distribution shows more efficient than the normal distribution and can accurately measure stock's risk.