Volatility Scaling with Autocorrelation
This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.
Summary:
- 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.