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Keywords: Historical Standard Deviation
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2004) 12 (2): 1–24.
Published: 30 November 2004
...Dam Cho I perform the backtesting of 10-day VaR's using daily returns of KOSPI 200 from January 1994 to December 1993 (2,692 days). The seven volatility measures are calculated with the last 300-day data; those are the historical standard deviations, the exponentially weighted moving average (EWMA...
