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SPX Dividend Treatment
How are dividends accounted for (if at all) in the CBOE SPX index? In assessing volatility, skewness, and kurtosis, is it important to analyze the index's cumulative return (i.e. including dividends paid) or is merely the "price return" sufficient?Thanks.
SPX Dividend Treatment
I think it is important to include dividends paid.
SPX Dividend Treatment
It depends on the time scale and purpose of the analysis.Over short periods of time, dividends can cause small jumps that can contribute significantly to skewness and kurtosis.Over longer periods of time, dividends can make a significant difference to mean return.