Returns distribution of the Mexican stock market

  • Bárbara Trejo Instituto Tecnológico y de Estudios Superiores de Monterrey
  • José Antonio Nuñez Instituto Tecnológico y de Estudios Superiores de Monterrey
  • Arturo Lorenzo Instituto Tecnológico y de Estudios Superiores de Monterrey
Keywords: normal inverse Gaussian distribution, returns, comparison of distributions
JEL Classification: C13, C15, C16, G1

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 the Kolmogorov-Smirnov test to compare t-Student and NIG distributions.

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Published
01-01-2006
How to Cite
TrejoB., NuñezJ., & LorenzoA. (2006). Returns distribution of the Mexican stock market. Estudios Económicos, 21(1), 85-98. https://doi.org/10.24201/ee.v21i1.156
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