square-root-rule

We typically scale volatility with the square root rule, but keep in mind the key assumption (i.i.d. returns). We APOLOGIZE that the bottom-right corner is obstructed by the web camera. It contains Expected return = +10.0% such that the Absolute VaR = -10%*10/250 + 2.326*20%*sqrt(10/250); i.e...

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...