期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2017
卷号：7
期号：11
页码：433-440
DOI：10.6007/IJARBSS/v7-i11/3479
语种：English
出版社：Human Resource Management Academic Research Society
摘要：The Japanese economy has been the second largest economy over the world for a long time before the Chinese economy emerged. The Tokyo Stock Exchange (TSE) is the fourth largest stock exchange in the world by aggregate market capitalization of its listed companies and largest in East Asia and Asia. It is of great importance for those in charge of managing risk to understand how its market index returns are distributed. The goal of this paper is to examine how various types of heavy-tailed distribution perform in risk management of the N225 Index returns. We compared these heavy-tailed distributions through a variety of criteria. Our results indicate the generalized hyperbolic distribution has the best goodness of fit and generates most suitable risk measures.
