The skew of a random variable X is defined as Given data x 1 , x 2
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The skew of a random variable X is defined as
Given data x1, x2,...,xn an estimator for skew is
where x̄ and s̅ are empirical mean and standard deviation. Being a symmetric distribution the normal has 0 skew. Calculate the empirical skew of the log returns (log Si+1/Si), for 3 stock equities of your choice using daily prices over the last 2 years.
Transcribed Image Text:
skew = E((x-μx)³)/std. (6.40)
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