Daily Returns





Kerry Back

Daily SPY returns

Box and density plots of daily SPY returns

Normal distribution has same mean and std dev as actual.
x-axis range is minimum to maximum return.

Autocorrelations of daily SPY returns

Does today’s return predict tomorrow’s?

No, the autocorrelation is almost zero.

Autocorrelations of absolute returns

Does today’s absolute return predict tomorrow’s?

Yes, volatility is persistent.