0
$\begingroup$

I am building a model which predicts the Excess Daily Returns over a time period. How do I convert these excess daily returns to excess quarterly returns? Should I just do an average of all the daily returns in that quarter, or is there another method to do this?

Thanks!

Improve this question
$\endgroup$
2
  • 3
    $\begingroup$ Transform simple percentage returns into log-returns. They are time additive, so you can just aggregate your daily returns to lower frequencies (monthly, quarterly etc). $r_d=\frac{P_t-P_{t-1}}{P_{t-1}}=e^{r_c}-1$. $\endgroup$
    – Kevin
    Aug 3, 2020 at 23:05
  • $\begingroup$ Ah, got it, that seems pretty neat. Thanks! $\endgroup$
    – jitmanchan
    Aug 3, 2020 at 23:59

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.