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Square Root Rule with Mean Reversion & AutoCorrelation - VaR & Volatility
May I ask what is mean reversion? I read the study notes but I still not understand it More , In our study notes R25. P1.P4.Allen, P.28, there is two scenarios which illustrate “violations” in the use of the square root rule to scale volatility over time ,I don’t understand when is overstates...- kandytsang
- Post #13
- Forum: P1.T4. Valuation & Risk Models (30%)