I'm reading about volatility. I've charted the histogram of EURUSD and I am wondering if this looks plausible? What I've charted are the 1-hour percent change returns (not log returns). I've removed 0 returns because it completely destroys the plot (you get an impulse centred on 0) and I've standardised the returns by doing ret = (ret-mean)/std

I've added a N(0,1) density and the 5% conf intervals (at 0.025 and 0.975). The skewness is -0.12248942201701185 - pretty much symmetric. The histogram for USDCHF has newgative skew of -13 but still looks pretty much symmetric.

Legend: $\mu$ is mean, $\sigma$ is std, $\kappa$ is skew, $\gamma$ is kurtosis.

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    $\begingroup$ What's the reasoning behind removing the zeros? Are those nightly hours when liquidity is at the lowest, hence low volatility. If that's the case, I would filter the data by trading calendar instead of applying a raw filter to values. $\endgroup$ – Sergei Rodionov Apr 16 at 22:41
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    $\begingroup$ FX markets should be 24 hours, 5 (or 5.5) days a week. If you're not seeing moves on weekends, it's OK, but if you're not seeing changes on weeknights - something's wrong with your data. $\endgroup$ – Dimitri Vulis Apr 16 at 23:15
  • $\begingroup$ What software did you use to plot this? $\endgroup$ – Rafael Apr 22 at 23:23

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