374 mid sample

00178 varianceratiostatistic standarddeviation 6

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Unformatted text preview: calculated the 6, 12, 18, and 24 month variance ratios for the S&P 500 index log return series. The results are summarized in the table below. S&P 500 Returns 1 period Variance 0.00178 Variance ratio statistic Standard deviation 6 periods 12 periods 18 periods 24 periods 0.01231 1.15329 11.10% 0.02610 1.22265 16.16% 0.03914 0.04977 1.22234 1.16557 19.78% 22.31% a) Why are variance ratio statistics useful? b) Compute the standard deviation of returns on investing in the S&P500 index at 6, 12, 18, and 24‐month horizons assuming that log returns are independently and identically distributed. c) What does the...
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