Graham Giller

Good survey of the reality of the data. The market is not Normal. Student's t is a good try, but it's analytically problematic for asset allocation strategy (utility calculations are sensitive to the moments of the distribution and Student's t will *always* have divergent moments at some level in the real world). I like the Generalized Error distribution (a/k/a Generalized Normal or Exponential Power distribution), which doesn't suffer from this problem. Also, clear evidence for Heteroskedasticity which will act to decrease kurtosis when properly accounted for.

Graham Giller

Graham Giller

Predicting important variables about companies and the economy, I turn data into information. CEO of Giller Investments.