Sep 24 2020 9 mins 12
Price returns are roughly normally distributed while volatility follows a chi-square distribution. The main differences between the two are the tails...price returns are skewed a bit to the downside, while volatility has a large, noticeable upward skew. This means if vol goes up, it tends to shoot up and float down, where as price can go up or down with the same velocity (for the most part).
