network profile
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| visits | member for | 8 months |
| seen | Sep 25 '12 at 16:01 | |
| stats | profile views | 2 |
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Sep 25 |
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What does this formula (to derive annualized volatility from VaR) mean? Thank you so much for your help. |
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Sep 20 |
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What does this formula (to derive annualized volatility from VaR) mean? (b) if the formula only deals with single values, that makes it easier, and I can see how you can get the VaR based on the three inputs (volatility, risk-free rate and T). But how can that be solved for volatility given a particular value for VaR? |
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Sep 20 |
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What does this formula (to derive annualized volatility from VaR) mean? Thanks. You're edging me towards enlightenment, but I still don't understand a couple of points: (a) If $\sigma_{\frac{1}{m}}$ is a single value, then presumably the rf bit is also a single value? But the text seems to imply that it's several values: "the risk free rate for each of the T intervals of 1/m years"? Or am I reading that wrong, and it just means that we should use the same value for each period? |
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Sep 19 |
awarded | Student |
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Sep 19 |
asked | What does this formula (to derive annualized volatility from VaR) mean? |
