Volatility Scaling with Autocorrelation

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.


  • Autocorrelation enables us to estimate the volatility of an investment portfolio in a more precise way.
  • The S&P 500 returns characterize by negative autocorrelation which means that the S&P 500 has a less grade of risk than the estimation based on the assumption of stock returns independency.
  • The I Know First AI algorithm provides us with the tool to select the most promising stocks.

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