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seen Sep 25 '12 at 16:01

Sep
25
comment What does this formula (to derive annualized volatility from VaR) mean?
Thank you so much for your help.
Sep
20
comment 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?
Sep
20
comment 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?
Sep
19
awarded  Student
Sep
19
asked What does this formula (to derive annualized volatility from VaR) mean?