I'm faced with the formula shown in the image below, which I just don't understand, in part because I've no grounding in stats, and in part because I don't even understand the notation:
What's going on here? Is this showing in the first line how to compute the VaR, and then in the second line how to derive the annualized volatility from some of the variables used in the first computation?
I don't even understand the "T time intervals of 1/m years" part. What's an "mth" of a year? And what does $\sigma_{\frac{1}{m}}$ mean? Is that the volatility for one time period? If so, then don't we need to aggregate the values for all the discrete time periods somehow? I'd expect to see a "sum from 1 to m" somewhere...
I'm totally confused, and any help would be very gratefully received.