Can someone explain to me please how to calculate the rolling volatility from slide 25 in these slides?
I get the first 21 LN returns like in the example. But then I don't really know what to insert in the formula. I get very different answers.
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up.Sign up to join this community
Please refer to the approach described in the PRIIP-RTS annex iv p10-13 https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32017R0653&from=en