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Comportamiento del IPC de la BMV durante 2000-2009: un enfoque de valores extremos

Author

Listed:
  • Domínguez Gijón, Rosa María

    (Escuela Superior de Economía, Instituto Politécnico Nacional)

  • Flores Ortega, Miguel

    (Escuela Superior de Economía, Instituto Politécnico Nacional)

  • Venegas-Martínez, Francisco

    (Escuela Superior de Economía, Instituto Politécnico Nacional)

Abstract

This paper develops a dynamic model of the returns of the Stock Market Index of the Mexican Stock Exchange within the framework of the theory of extreme values and, in particular, carries out an application of the Generalized Pareto Distribution. The statistical analysis shows that many of the observations are unusual (large in absolute value) and do not belong to the world of the normal distribution. In fact, it is shown that these observations consistently exceed a threshold. The main objective is to show that the extreme value approach with peaks provides a more accurate description of the returns the Stock Market Index than those models which use only the normality assumption.

Suggested Citation

  • Domínguez Gijón, Rosa María & Flores Ortega, Miguel & Venegas-Martínez, Francisco, 2012. "Comportamiento del IPC de la BMV durante 2000-2009: un enfoque de valores extremos," Revista Nicolaita de Estudios Económicos, Universidad Michoacana de San Nicolás de Hidalgo, Instituto de Investigaciones Económicas y Empresariales, vol. 0(1), pages 7-24.
    • Handle: RePEc:ris:rnicee:0065
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    More about this item

    Keywords

    Financial markets; semiparametric models; statistic models;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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