通过H ill估计的改进方法对上证综合指数和深圳成分指数的收益率分布的尾部指数进行了参数估计,用χ2检验验证了指数的稳定性及其置信区间.在此基础上提出用尾部指数估计尾概率,达到风险控制的目的.实证研究表明,沪深大盘指数收益率分布具有肥尾的特征,但并不服从无限方差分布. Through the improved method of H ill estimation, the tail index of the yield distribution of the Shanghai Composite Index and the Shenzhen Component Index is estimated, and the stability of the index and its confidence interval are verified by the χ2 test.On the basis of this, Tail probability, to achieve the purpose of risk control.Experimental studies show that the Shanghai and Shenzhen stock index returns have the characteristics of fat tail, but does not obey the infinite variance distribution.