Download the daily S&P5001ndex from January 2, 2006, and continuing to the most recent date. Let P,

Question:

Download the daily S&P5001ndex from January 2, 2006, and continuing to the most recent date. Let P, denote the SP500 time series and pt = In (P1).
a. Compute the daily return (i.e., Rt = pt = pt–1).
b. Compute the sample moments of returns: mean, variance, skewness, and kurtosis. Plot the histogram.
c. Plot Rt against Rt–1, Rt–2, Rt–3 and Rt–4. Can you discern any pattern in any of the four graphs?