The stylized facts of return series

Quantitative Risk Management in R

Alexander McNeil

Professor, University of York

The stylized facts

  1. Return series are heavier-tailed than normal, or leptokurtic
  2. The volatility of return series appears to vary over time
  3. Return series show relatively little serial correlation
  4. Series of absolute returns show profound serial correlation
  5. Extreme returns appear in clusters
  6. Returns aggregated over longer periods tend to become more normal and less serially dependent
Quantitative Risk Management in R

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Quantitative Risk Management in R

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