mean-reversion

Autocorrelation is a correlation of variable (eg, returns) with itself over time; it is a violation of returns. Positive autocorrelation increases scaled volatility, while negative autocorrelation (aka, mean reversion) decreases scaled volatility. Here is David's XLS: http://trtl.bz/2wSpHrG

David, I am now thoroughly confused by the Square Root Rule and scaling the VaR under the circumstance of Mean Reversion and Auto correlation. In search of an explanation, I found this thread http://forum.bionicturtle.com/newreply/1729/ , but your link is not attached anymore. The rules for...

David.. I request you to to eloborate the term means reversion. What it exactly means and how it impacts VaR. Your editgrids are indeed elegant and educative. But unlike your webcasts exclusively I find it hard to follow (although I reapeatedly watch them) and learn. You indeed touch upon...