python 求解var值

import tushare as ts

import pandas as pd

import numpy as np

from  scipy import  stats

#今天上证跌破2800，计算一下var值

sh=ts.get_hist_data('sh').sort_index()

sh['re']=np.log(sh['close']/sh['close'].shift(1))

sh=sh.dropna()

shmean=sh['re'].mean()

shstd=sh['re'].std()

stats.norm.ppf(0.05,shmean,shstd**0.5)

0.20# 有99%的概率损失20%

转载于:https://www.cnblogs.com/thechain/p/9238849.html