# Tag Info

## New answers tagged value-at-risk

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It might help to think of the two as special cases of $$S_{i+1}-S_i = \sigma (c+S_i)^\beta \epsilon$$ which looks like a Constant Elasticity of Variance extension. Taking squares of both sides and then logs will (nearly) linearise it, allowing you to carry some basic estimation using OLS. The parameter $c$ will control the lower bound and can impose some ...

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