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YouTube T1-3 How to translate volatility over time

Nicole Seaman

Director of FRM Operations
Staff member
Subscriber
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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diegowillian

New Member
Hi Nicole, how are you?

I have one question, how can I calculate volatility only when prices up and when prices down, can you help me?

Tks a lot.
 
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