prices=FinancialData["^MXX",All];Returns[x_,Δt_]:=N[Log[Drop[x[[All,2]],Δt]]-Log[Take[x[[All,2]],{1,-(1+Δt)}]]];SmoothHistogram[Table[Returns[prices,Δt],{Δt,1,8}],PlotRangeFull,PlotLegendsTable["Δt = "<>ToString[i],{i,1,8}],FrameTrue,FrameLabel{"R","Density function"}]