Exercise 20.2.2 For the lognormal model, show that (1) the kurtosis of Xt is 3e4b2 , (2)
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Exercise 20.2.2 For the lognormal model, show that (1) the kurtosis of Xt is 3e4b2
,
(2) Var[ Vt ] = e2a+b2 (eb2 −1), (3) Var[ |Xt −μ| ] = e2a+b2 (eb2 −2/π), (4) Var[ V2 t ] =
e4a+4b2 (e4b2 −1), and (5) Var[ (Xt −μ)2 ] = e4a+4b2(3e4b2 −1).
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