re : looking for " fat tails " in time - series for ngi - socal naveen ,
i got ngi - socal prices for prompt , prompt + 1 , . . . , prompt + 59 contracts .
for each contract i calculated moving average based on 21 log - returns as
well as moving volatility . then i calculated normalized log - returns :
[ return ( t ) - ave ( t ) ] / vol ( t )
and compared the results to normal distribution .
i could not find fat tails !
volatility changes a lot from day to day , so when people look at
log - returns ( not normalized ) it seems that there fat tails ( big spikes , large
returns more frequent than normal ) ,
which comes from the fact that volatility is not constant ( at all ) .
see the spreadsheet is under o : \ _ dropbox \ tanya
tanya
re : looking for " fat tails " in time - series for ngi - socal
naveen ,
i got ngi - socal prices for prompt , prompt + 1 , . . . , prompt + 59 contracts .
for each contract i calculated moving average based on 21 log - returns as
well as moving volatility . then i calculated normalized log - returns :
[ return ( t ) - ave ( t ) ] / vol ( t )
and compared the results to normal distribution .
i could not find fat tails !
volatility changes a lot from day to day , so when people look at
log - returns ( not normalized ) it seems that there fat tails ( big spikes , large
returns more frequent than normal ) ,
which comes from the fact that volatility is not constant ( at all ) .
see the spreadsheet is under o : \ _ dropbox \ tanya
tanya