What's the formula for calculating Scaling Factor when Auto corelation is there.
Std deviation daily is 1%
Confidence level is 99%
Target Horizon 10days
Autocorrelation is .2
How we should calculate scaling factor, std deviation & VAR over horizon..
Like Mark to Market is the tool which provides realistic estimate of a financial situation for Future market transaction..
What is the tool used for arriving the current value of forward market transaction..