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Science Forum Index » Statistics - Math Forum » sums of squares of Student-t variates
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| Beliavsky |
 Posted: Thu May 01, 2008 12:41 pm |
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Guest
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The sums of the squares of independent normal deviates follow the chi-
squared distribution. What about the sums of squares of independent
Student-t deviates -- does this distribution have a name? I can
simulate the distribution, of course.
Research has found that the Student-t distribution fits daily stock
market log returns much better than the normal distribution, because
daily returns have excess kurtosis. I am studying the distribution of
stock market variance and volatility over N-day samples. |
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