上一主题:Is 4 months enough?
下一主题:within-sector allocation
返回列表 发帖
you use 250 days for the year

daily return = 9.55% / 250 = .0382%

daily std dev = 14.87% / 250^1/2 = .9405%

daily VaR at 5% = .0382% - 1.65(.9405%) = -1.5136%

TOP

返回列表
上一主题:Is 4 months enough?
下一主题:within-sector allocation