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...

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Bibliographic Details
Main Authors: Trejo, Bárbara, Nuñez, José Antonio, Lorenzo, Arturo
Format: Online
Language:Spanish
Editor: El Colegio de México, A.C. 2006
Subjects:
comparación de distribuciones
rendimientos
distribución Gaussiana inversa normal
G1
C16
C15
C13
comparison of distributions
returns
normal inverse Gaussian distribution
Online Access:https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/156
Journal:

Estudios Económicos

Description
Summary: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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