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Distribución de los rendimientos del mercado mexicano accionario


  • 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)


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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    Cited by:

    1. 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.

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