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Distribución de los rendimientos del mercado mexicano accionario

Bárbara Trejo, José Antonio Nuñez and Arturo Lorenzo
Estudios Económicos
Vol. 21, No. 1 (41) (Jan. - Jun., 2006), pp. 85-118
Published by: El Colegio de Mexico
Stable URL: http://www.jstor.org/stable/40311512
Page Count: 34
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Distribución de los rendimientos del mercado mexicano accionario
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Abstract

Se muestra un estudio empírico para comparar la distribución normal, la t-Student y la distribución gaussiana inversa normal (NIG). Se lleva a cabo para el caso de los rendimientos de la bolsa Mexicana de Valores. Los parámetros de la distribución NIG y t-Student son estimados por máxima verosilimitud. El rechazo de normalidad es contundente al usar la prueba ómnibus. Los resultados son muy claros: el ajuste para la distribución NIG es mejor que para la distribución normal. También se realizó la prueba de Kolmogorov-Smirnov para comparar la t-Student y la NIG. /// 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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