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!

$\endgroup$
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
    Commented Aug 3, 2020 at 23:05
  • $\begingroup$ Ah, got it, that seems pretty neat. Thanks! $\endgroup$
    – jitmanchan
    Commented Aug 3, 2020 at 23:59

0

Your Answer

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

Browse other questions tagged or ask your own question.