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Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index

H. F. Coronel-Brizio·A. R. Hernandez-Montoya
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Abstract

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 showed that the cumulative distribution function for extreme variations, can be described by a Pareto-Levy model with shape parameters alpha=3.634 +- 0.272 and alpha=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< alpha <4 for other financial markets worldwide.

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H. F. Coronel-Brizio, A. R. Hernandez-Montoya. 2004-10-21. Asymptotic behavior of the Daily Increment Distribution of the IPC, the Mexican Stock Market Index. https://arxiv.org/abs/cond-mat/0312413

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