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logarithm and absolut value in returns of stocks

Well, i'm interested in model a GARCH for a serie. The original serie is $y_t$ (price index of a Stock Market), which has a unit root. So i create the returns: $x_t = ln(y_t) - ln(y_{t-1})$. Now, i'm ...
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348 views

Fitting Student t-distributions to log-returns

It seems that some tail-risk centric groups are bent on using Paretian and t-distributions to account for tail risk when fitting log-returns. It has been observed, however, that with and without ...
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Estimation of ranks of log-returns via copula

I have successfully chosen and estimate a copula for the ranks of the log-returns of my actions. My question is, since I have worked with the ranks instead of directly the log-returns (in order to be ...
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Modelling log-returns and calculating the portfolio return

I know this might be a trivial question, however, I would be grateful for some clarification. I am working on weekly log-return data, doing volatility-foracasting using GARCH models and then using ...
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0answers
187 views

Monte Carlo simulation returns not normal distributed

I am generating 100,000 paths of SPX out to 1 year using Euler discretization. I look at how S is distributed for 100,000 paths at the 1 year point and I find it is lognormally distributed. I look at ...
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0answers
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Calculating Asset Returns

The question pertains to a simple phenomenon. There is gold futures listed on Exchange A and Exchange B. Exchange A and Exchange B overlap times with A and B starting 8 hours later and A and B ...
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14 views

R:log return calculation for panel data structure

I have a long form panel for hourly prices of stocks. I want to do log return calculation for this panel data structure. Below is my code: ...
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77 views

Log returns vs Relativizing to Portfolio size of $1

In a current empirical research project, I am tracking a non-parametric measure of a transaction cost. To this extent, I track this cost in two ways Cost in terms of log returns Cost in terms of ...