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Suppose you have 1,000 daily returns. The returns come from a stationary distribution generated as follows: With probability 0.5 the return is normal with mean

Suppose you have 1,000 daily returns. The returns come from a stationary distribution generated as follows: With probability 0.5 the return is normal with mean zero and standard deviation 1% on a daily basis. With probability 0.5 the return is normal with mean zero and standard deviation 2% on a daily basis. What is the mathematical expression for the probability density of the return

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