February 11th, 2010, 7:43 am
Quote...However the question is how to compare a vol measured using daily observations with a vol mesured with say monthly or yearly observations. this is where the sqrt time law comes in for vol and where we are trying to find a law for sk n kurt. ...I was referencing to that case, maybe not very clear. Assume monthly logreturns to be independent N(mu,sigma). Then you have yearly logreturns as the sum of 12 independent N(mu, sigma) random variables, so yearly logreturns will be distributed as N(12*mu, sqrt(12)*sigma). As they are still normal, Kurtosis of yearly logreturns will be 3, just as the monthly logreturns, so no scaling effect on kurtosis in that case. I could not find the paper on the author's homepage.
Last edited by
silenoz on February 10th, 2010, 11:00 pm, edited 1 time in total.