Asset Price Dynamics, Volatility, and Prediction Quotes

“Empirical analysis of the relationship between volatility and information is difficult because we can only identify some of the relevant information.”
― Stephen J. Taylor, Asset Price Dynamics, Volatility, and Prediction

“The Shape of the Returns Distribution The first important stylized fact for daily returns is a remark about their distribution: 1. The distribution of returns is not normal. Instead, we can say of the distribution that it is approximately symmetric; it has fat tails; it has a high peak.”
― Stephen J. Taylor, Asset Price Dynamics, Volatility, and Prediction

“Skewness statistics are sometimes used to assess the symmetry of distributions, while kurtosis statistics are often interpreted as a measure of similarity to a normal distribution.”
― Stephen J. Taylor, Asset Price Dynamics, Volatility, and Prediction