liangfeng

Yes, it does.

Take the daily data and turn that into annual, bing bang boom. Daily st dev x sqrt 250

liangfeng

cpk123 Wrote:
-------------------------------------------------------
> level of significance only affects the number used
> - 1.645 vs. 1.96 vs. 2.33
>
> an assumption they mention in the curriculum is
> that if expected return had a mean reverting value
> of 0 - you could just do it with the std.
> deviation.
>
> daily return std deviation = x
> annual return std deviation = x*sqrt(250).
>
> as blanders above has stated.


+2 Not tricky.