Sentences with phrase «daily log returns»
We examine how annualized historical volatility is computed from daily log returns, variance and standard deviation.
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He calculates realized variance at the end of each month from daily log stock returns over the prior three months.
Re # 36 Steve, in the financial world, a time series is created by taking the natural log of the daily closing price of the S&P 500 and than taking the difference to create a returns series, ie r (n) ~ ln (1 + r (n)-RRB- = ln (P (n +1)-RRB--- ln (P (n)-RRB-.
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