Distribución de los rendimientos del mercado mexicano accionario
We show an empirical study to compare the Normal, t-Student and the Normal Inverse Gaussian (NIG) distributions. This is made for the Mexican stock market returns. The parameters of the NIG and t-Student distributions are estimated by maximum likelihood. The rejection of normality is contundent usin...
| Autores principales: | , , |
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| Formato: | Online |
| Idioma: | espanhol |
| Editor: |
El Colegio de México, A.C.
2006
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| Assuntos: | |
| Acesso em linha: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/156 |
| Recursos: |
Estudios Económicos |
| Resumo: | We show an empirical study to compare the Normal, t-Student and the Normal Inverse Gaussian (NIG) distributions. This is made for the Mexican stock market returns. The parameters of the NIG and t-Student distributions are estimated by maximum likelihood. The rejection of normality is contundent using the omnibus test. The results are very clear: the adjustment of the NIG distribution is better than the adjustment for the Normal distribution. At the same time we used the Kolmogorov-Smirnov test to compare t-Student and NIG distributions. |
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