Hi David,
How should I understand the daily VAR here? is it just calculated daily? I think 10-day trading horizon means I need to scale the "daily" VAR (using one day volatitlty) with 10 days to get the VAR which is called the daily VAR here? so it is actually 2-week VAR right?
Thanks.
How should I understand the daily VAR here? is it just calculated daily? I think 10-day trading horizon means I need to scale the "daily" VAR (using one day volatitlty) with 10 days to get the VAR which is called the daily VAR here? so it is actually 2-week VAR right?
Thanks.