摘要：The distribution for the adjustment of financial returns must be capable not only to successfully completing the adjustment stage, but must also recover the stochastic characteristics of the sample data, including the bounded domain. This assumption is even more logical in the Chinese stock market where there is a price restriction in the daily movement among other special characteristics. This paper analyzes if the price restriction affects to the distribution of extreme returns by using the Peak Over Threshold (POT) method to model the extreme behavior for the daily Shanghai Stock Exchange (SSE) Composite Index applying the Generalized Pareto distribution (GPD). The risk measures calculated allow concluding that the restriction of prices leads to a lesser risk.
