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Distribución de los rendimientos del mercado mexicano accionario

Author

Listed:
  • 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.

Suggested Citation

  • Bárbara Trejo & José Antonio Núñez & Arturo Lorenzo, 2006. "Distribución de los rendimientos del mercado mexicano accionario," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(1), pages 85-98.
    • Handle: RePEc:emx:esteco:v:21:y:2006:i:1:p:85-118
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/156/158
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    Cited by:

    1. Bárbara Ruth Trejo Becerril & Alberto Gallegos David, 2021. "Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-26, Abril - J.
    2. Calderón-Colín Roberto & Carmona Sánchez Juan F., 2021. "A Multivariate Analysis of SIEFORE Daily Returns," Working Papers 2021-02, Banco de México.
    3. Bárbara Ruth Trejo Becerril & Alberto Gallegos David, 2021. "Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-26, Abril - J.
    4. Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011. "Modelación de los rendimientos bursátiles mexicanos mediante los modelos TGARCH y EGARCH: Un estudio econométrico para 30 acciones y el Índice de Precios y Cotizaciones [Modeling Mexican stock retu," MPRA Paper 36872, University Library of Munich, Germany.
    5. José Antonio Núñez & Mario I Contreras-Valdez & Carlos A Franco-Ruiz, 2019. "Statistical analysis of bitcoin during explosive behavior periods," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-22, March.
    6. Calderón-Colín, Roberto & Carmona Sánchez, Juan Francisco, 2023. "A multivariate analysis of SIEFORE daily returns," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).

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