re : trying to find fat tails naveen ,
i was trying to find " fat tails " . i looked at ng prompt month prices '
log - returns for 5 years 9 months .
on the figure below you can see the comparison of empirical cumulative
probability function with normal
cumulative for this time series ( standardized : mean subtracted , divided by
stdev ) . the effect of fat tails
is not pronounced so much . the " fat tails " effect was much more visible on
your plot when you looked at the
oct - 00 prices log - returns versus my time series of prompt month ' s prices .
the shape of the distribution is different from normal , though , and fits well
with the volatility switching model .
tanya .
re : trying to find fat tails
naveen ,
i was trying to find " fat tails " . i looked at ng prompt month prices '
log - returns for 5 years 9 months .
on the figure below you can see the comparison of empirical cumulative
probability function with normal
cumulative for this time series ( standardized : mean subtracted , divided by
stdev ) . the effect of fat tails
is not pronounced so much . the " fat tails " effect was much more visible on
your plot when you looked at the
oct - 00 prices log - returns versus my time series of prompt month ' s prices .
the shape of the distribution is different from normal , though , and fits well
with the volatility switching model .
tanya .