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