Distribución de los rendimientos del mercado mexicano accionario

Bárbara Trejo, José Antonio Núñez and Arturo Lorenzo
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Bárbara Trejo: Tecnológico de Monterrey, Campus Ciudad de México
José Antonio Núñez: Tecnológico de Monterrey, Campus Ciudad de México
Arturo Lorenzo: Tecnológico de Monterrey, Campus Ciudad de México

Estudios Económicos, 2006, vol. 21, issue 1, 85-98

Abstract: 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 de Kolmogorov-Smirnov test to compare t-Student and NIG distributions.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:emx:esteco:v:21:y:2006:i:1:p:85-118

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