Asymptotic behavior of the daily increment distribution of the IPC, the mexican stock market index
In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative probability distribution of its daily logarithmic variations studied. Results show that the cumulative distribution function for extreme variations, can be described by a Pareto-Levy model with shape parameters α= 3.634 ± 0.272 and α= 3.540 ± 0.278 for its positive and negative tails, respectively. This result is consistent with previous studies, where it has been found that 2.5 < α < 4 for other financial markets worldwide.
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| Main Authors: | , |
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| Format: | Digital revista |
| Language: | English |
| Published: |
Sociedad Mexicana de Física
2005
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| Online Access: | http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0035-001X2005000100005 |
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