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Non-Gaussianity of the Intraday Returns Distribution: its evolution in time

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  • M. A. Virasoro
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    Abstract

    We find a remarkable time persistence of various proxies for the kurtosis (p-kurtosis) of the intraday returns distribution for the S&P500 index and this permits a significant measure of their evolution from 1983 to 2004. There appears a long time scale dramatic variation of the p-kurtosis uncorrelated with the variation of the volatility thus falsifying any hypothesis of a universal shape for the probability distribution of the returns. A large increase in the kurtosis anticipates the October 87 crash. During the years 1991-2003 it continuously decreases even when the volatility grows during the dot-com bubble. We propose some speculative interpretations of these results.

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    File URL: http://arxiv.org/pdf/1112.0770
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    Paper provided by arXiv.org in its series Papers with number 1112.0770.

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    Date of creation: Dec 2011
    Date of revision: Dec 2011
    Handle: RePEc:arx:papers:1112.0770

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    1. Mukerji, Sujoy & Tallon, Jean-Marc, 2003. "Ellsberg's two-color experiment, portfolio inertia and ambiguity," Journal of Mathematical Economics, Elsevier, vol. 39(3-4), pages 299-316, June.
    2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
    3. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
    4. Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
    5. Allez, Romain & Bouchaud, Jean-Philippe, 2011. "Individual and collective stock dynamics: intra-day seasonalities," Economics Papers from University Paris Dauphine 123456789/10898, Paris Dauphine University.
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