Question
Download the daily S&P500 Index from January 2, 2006, and continuing to the most recent date. Let P t denote the SP500 time series and
Download the daily S&P500 Index from January 2, 2006, and continuing to the most recent date. Let Pt denote the SP500 time series and pt= ln (Pt).
https://fred.stlouisfed.org/series/SP500
a.Compute the daily return (i.e., Rt = pt pt1).
b.Compute the sample moments of returns: mean, variance, skewness, and kurtosis. Plot the histogram.
c.Plot Rt against Rt1, Rt2, Rt3, and Rt4. Can you discern any pattern in any of the four graphs?
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Bond Markets Analysis and Strategies
Authors: Frank J.Fabozzi
9th edition
133796779, 978-0133796773
