The art of fitting financial time series for some stock market indexes of some of the main emerging countries and for Mexico with stable Lévy Distributions
DOI:
https://doi.org/10.34117/bjdv9n6-007Keywords:
stock markets, high frequency fluctuations distribution, tail behavior, autocorrelations, distribution's stableAbstract
This paper presents a statistical analysis of the logarithmic fluctuations of the returns of some of the main stock market indices. Samples were analyzed considering daily data covering a period from 01/03/2000 to 09/30/2022, and adjusted to different distributions. Goodness-of-fit tests were performed to quantitatively assess the quality of the estimate. Particular attention was paid to the impact of sample size on the estimated decay of the tail of the distributions. In this study, a forceful rejection of normality was obtained. On the other hand, the null hypothesis that the logarithmic fluctuations conform to a stable alpha Lévy distribution cannot be rejected considering a significance level of 5%.
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