Linked Questions

6 votes
2 answers

If the volatility of pounds/euros = .2 do we know anything about the volatility of euros/pounds?

I think the question here is what we know about $\mathrm{Var}\left(\frac1X\right)$. Is this the right question to ask, and if so is there anything that can be said?
jeremy909's user avatar
  • 333
3 votes
1 answer

Difference between 5Y breakeven inflation and 5Y5Y inflation forward?

I cannot figure out the difference between the two data series found here: The 5Y breakeven inflation, to my ...
user3138766's user avatar
0 votes
2 answers

How can I measure returns such that the average is useful?

If I measure daily returns by simple percent change, a -50% day then a +50% day (or vice versa) results in a true -25% total change, but the average makes it look like you would expect a total 0% ...
user708873's user avatar
1 vote
3 answers

GARCH on returns or on log-returns?

I'm trying to capture heteroskedasticity in the returns of a price time series using a GARCH model. A basic intuition suggests that I should fit the GARCH model on log-returns: indeed, if the price is ...
Jerem Lachkar's user avatar
0 votes
1 answer

Why should we use log returns? Log normality

According to this link, there are some reasons we have to use log returns. But I can not understand the first reason provided in the link: First, log-normality: if we assume that prices are ...
user3595632's user avatar
-1 votes
1 answer

Is it possible to calculate logarithmic return for short position? [closed]

In the book "Python for Algorithmic Trading" by Yves Hilpisch, it calculates the logarithmic return by summing up all the log values. When calculates the profit for long position: log(...
starriet 주녕차's user avatar
0 votes
1 answer

Implied volatility and realized volatility

There are many articles and posts here claiming that the implied volatility is the expectation of future realized volatility. I don't understand. To begin with, isn't implied volatility homogeneous to ...
SuttNFG's user avatar
1 vote
1 answer

Compounding vs Annualizing Returns in a Portfolio Optimization Context

This might be a rather basic question that might be closed... but I can't for the life of me understand why in many Google search results the annualization of daily returns is done like this: r_yearly ...
KaiSqDist's user avatar
  • 1,312
-4 votes
1 answer

in time series analysis or finance people use log return for inference but returns can take negative value [closed]

in time series analysis or finance people use log return for inference but returns can take negative value. but log cant take negative values. so why we use it when log is not defined on most of ...
Ashish Kumar's user avatar
0 votes
1 answer

What is the relation between the trend of log and linear in accumulative data?

From this discussion, I know when to use the log, but now I am wondering how to guess the trends of log graph of accumulative data based on linear accumulative data graph? For example, this table is ...
Phil Nguyen's user avatar