Enron Mail |
---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 11/13/2000
08:21 AM --------------------------- Tanya Tamarchenko 11/10/2000 04:17 PM To: Naveen Andrews/Corp/Enron@ENRON cc: Vince J Kaminski/HOU/ECT@ECT, Vladimir Gorny/HOU/ECT@ECT Subject: Re: looking for "Fat Tails" in time-series for NGI-SOCAL Naveen, I got NGI-SOCAL prices for prompt, prompt+1,...,prompt+59 contracts. For each contract I calculated moving average based on 21 log-returns as well as moving volatility. Then I calculated normalized log-returns: [ return(t)-ave(t) ] / vol(t) and compared the results to normal distribution. I COULD NOT FIND Fat Tails! Volatility changes a lot from day to day, so when people look at log-returns (not normalized) it seems that there fat tails (big spikes, large returns more frequent than normal), which comes from the fact that volatility is not constant (at all). See the spreadsheet is under O:\_Dropbox\Tanya Tanya
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