Volatility scaling with autocorrelation (Excel) скачать в хорошем качестве

Volatility scaling with autocorrelation (Excel)

Kudos to Dingxin Cheng for suggesting this topic! How does variance and volatility scale when the observations are non-independent? Autocorrelation is a common phenomenon for many financial markets so it is crucial to understand volatility scaling in these conditions for risk management, value-at-risk, investment simulation and many other applications. This video gives an Excel tutorial of the volatility scaling when returns are serially correlated, both using a direct computation approach and a closed-form solution for a general case with derivation. Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Finance! Please consider supporting NEDL on Patreon:   / nedleducation