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)
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.
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Publisher Info
Article provided by El Colegio de México, Centro de Estudios Económicos in its journal Estudios Económicos.