A Distribuição de Probabilidade dos Retornos das Ações no Brasil: Uma Abordagem Não-Paramétrica

Abstract

In this paper we estimate the probability distribution function of the daily return on stock of four Brazilian companies, using a non-parametric method, namely, the kernel estimator. Besides, as a comparison, we have performed three normality tests: Kolmogorov-Smirnov, Chi-Square and Jarque-Bera. We have concluded that the density function of the return of Eletrobras, Petrobras, Paranapanema and Telebras cannot be considered normally distributed.