The most comprehensive educational resources for finance

How to Scale Autocorrelated Returns?

We know that the square root rule can be used to scale volatility with time. This rule assumes that the returns are independent and identically distributed. However, this assumption is not very realistic.

This video illustrates a scaling factor that adjusts the square root rule for for autocorrelation.

This video is developed by David from Bionic Turtle.

Leave a Reply

Your email address will not be published. Required fields are marked *

Name *