I've been struggling to solve this problem for quite some time. The solution states that the mean = 0,4% and SD = 2,5%, but I can't understand why.
"The daily return on a stock has a mean of 0,2% and a standard deviation of 1,25%. We want to find the mean return and the return standard deviation for stock returns measures over a 2 day interval. Under the assumption that stock returns are independent from one day to the next, what are the mean and standard deviation of the two day returns?"
My logic is that since for 1 day the mean is 0,2% and SD is 1,25%, the same will remain true for 2 days, so the answer should be mean = 0,2% and SD=1,25%.
Thank you very much in advance.