YouTube T1-3 How to translate volatility over time

[Nicole Seaman]

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., the drift scales linearly.

Here is David's XLS: http://trtl.bz/2wJaJEf

 

[diegowillian]

Hi Nicole, how are you?

I have one question, how can I calculate volatility only when prices up and when prices down, can you help me?

Tks a lot.

 

[David Harper CFA FRM]

Do you have a numerical examples of "prices up" and "prices down"?