Uncorrelated over time(Volatility)

[petroil]

Please, could you help me with this question?

Suppose returns are uncorrelated over time. You're given that the volatility over two days is 1,2%. What is the volatility over 20 days?

How could I calculate the volatility over 20 days?

Thanks.

 

[ami44]

You can use the square root rule:
vol(20) = vol(2) * sqrt(20/2) = 3.79%

 

[brian.field]

See my comments here:
https://forum.bionicturtle.com/thre...nformation-ratio-and-sortino.7519/#post-39195

 

[ShaktiRathore]

The n days volatility is scaled by sqrt(m/n) to get m days volatility thus m days volatility,
m-period volatility = n-period volatility * sqrt[m/n]
m-day volatility = n-day volatility * sqrt[m/n]
Here n=2 days, n-day volatility =x=1.2%,m=20 days
using, m-day volatility = n-day volatility*sqrt[m/n]
20-day volatility = 2-day volatility*sqrt[m/n] =1.2%*sqrt(20/2)=sqrt(10)*1.2%=3.79%
Also Visit https://forum.bionicturtle.com/threads/quant-a-question-6.181/#post-696
thanks