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.
Get smart about tech at work.
As a non-technical professional, learn how software works with simple explanations of tech concepts. Learn more...
Data Science for Finance Bundle: 43% OFF
Get our Data Science for Finance Bundle for just $29 $51.
Get it now for just $29Checkout our eBooks and Templates
eBooks and templates related to finance, R programming, Python, and Excel.
Visit Store