Abstract:Using daily data from 1996 to 2004 of Shanghai and Shenzhen composite indices,we investigate the empirical distributions of China's stock index returns.First we find that the hypothesis of Normal Distribution is refused.Then we further test scaled-t distribution,Logistic distribution,exponential power distribution,mixtures of two normal distributions,ARCH-M model,GARCH-M model from various view,e.g.goodness-of-fit test,VaR deviation,and probability deviation over different intervals.We find that...