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YouTube T1-3 How to translate volatility over time

Nicole Seaman

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We typically scale volatility with the square root rule, but keep in mind the key assumption (i.i.d. returns). We APOLOGIZE that the bottom-right corner is obstructed by the web camera. It contains Expected return = +10.0% such that the Absolute VaR = -10%*10/250 + 2.326*20%*sqrt(10/250); i.e., the drift scales linearly.

Here is David's XLS: http://trtl.bz/2wJaJEf


YT sub small.png
 
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