Question: You are considering a normal probability distribution to characterize the randomness of daily S&P 500 returns. Which of the following is correct regarding your approach?

You are considering a normal probability distribution to characterize the randomness of daily S&P 500 returns. Which of the following is correct regarding your approach?

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Under the normality assumption, the probability of observing a daily return that is more than two standard deviations higher than the mean is 10%.

The daily returns are well characterized by a normal distribution with the historical mean and standard deviation of daily returns.

Huge jump-like events will be impossible to happen under a normal distribution, driving a discrepancy between the realized data and your approach.

The normal distribution assumption implies excess kurtosis but zero skewness.

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