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Results tagged with volatility
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user 8032
A measure of the variation in price over time. Also a measure of the risk of a financial instrument.
2
votes
1
answer
1k
views
Square-root-of-time and autocorrelation
My question is that when we have autocorrelation in daily volatilities can we scale daily volatility to annual basis using square-root-of-time rule? … Does it breach the main assumption of the rule that says volatility is constant across period?
Thank you …
- 63
4
votes
2
answers
502
views
How to interpret negative asset volatility numerical results in Merton model?
I use both numerical and complex iterative approach to estimate asset volatility and asset value. … volatility. …
- 63