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This paper develops a dynamic model of the returns of the Stock Market Index of the Mexican Stock Exchange within the framework of the theory of extreme values and, in particular, carries out an application of the Generalized Pareto Distribution. The statistical analysis shows that many of the observations are unusual (large in absolute value) and do not belong to the world of the normal distribution. In fact, it is shown that these observations consistently exceed a threshold. The main objective is to show that the extreme value approach with peaks provides a more accurate description of the returns the Stock Market Index than those models which use only the normality assumption.

Comportamiento del IPC de la BMV durante 2000-2009: Un enfoque de valores extremos