Finance Train Logo
Home
Blog
View Products
Quantitative 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.

Next Lesson

Course: Introduction to Quantitative Finance
LESSONS
  • What is Volatility?
  • What is the Square Root Rule?
  • Why Use Lognormal Returns in Finance (Stock Prices)?
  • How to Scale Autocorrelated Returns?
  • Arithmetic Vs. Geometric Stock Returns
  • Extreme Value Theory

R Programming Bundle: 25% OFF

Get our R Programming - Data Science for Finance Bundle for just $29 $39.
Get it now for just $29
Checkout our eBooks
Getting Started with R Programming
FREE
Learn More
R Programming - Data Science for Finance Bundle
$39$29
Learn More
Machine Learning in Finance using Python
$7.99
Learn More
Credit Risk Modeling with R
$7
Learn More
Quantitative Trading Strategies with R
$7
Learn More
Financial Time Series Analysis with R
$5
Learn More
Options Trading - Excel Spreadsheets Bundle
$3.99
Learn More
Derivatives Modeling with R
$5
Learn More
Value at Risk - Excel Spreadsheets Bundle
$3.99
Learn More
Data Visualization with R
$7
Learn More
Python for Data Science
$7
Learn More
HomeAboutTopicsAll PostsFacebook GroupContact UsPrivacy Policy
Website Developed and Maintained by Learn Kraft.
CFA Institute does not endorse, promote or warrant the accuracy or quality of Finance Train. CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.

© 2022. Finance Train, All right reserverd.