How to translate volatility over time; i.e., scale volatility per the square root rule (FRM T1-3)

We typically scale volatility with the square root rule, but keep in mind the key assumption (i.i.d. returns). I APOLOGIZE that the bottom-right corner is obstructed by my web camera. It contains Expected return = +10.0% such that the Absolute VaR = -10%*10/250 + 2.326*20%*sqrt(10/250); i.e., the drift scales linearly. [Here is the XLS I used if you are interested: trtl.bz/2wJaJEf]
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[@rohitjoshi637]

Hi David great explanation as usual . Just want to clarify that in case of time varying volatility iid will hold or not ( IMO not hold ) and to tackle it can we apply EWMA approach ? Thanks and regards

[@ashayvaradkar6227]

Really helpful vdeos. Thanks a lot David!

[@Mike-cp1tj]

lower left formula, shouldn't right hand side be squared (variance) as well?

[@arnaldolc]

Great video, David. Thanks. One question: I thought if we took 2 SD that would give me 95% confidence level. However, you used 1.645. What am I missing ? Thank you.

[@kmarcucci23]

It would be nice to see the Expected return, per annum and absolute T-day VaR, % but your picture is covering these pieces of information Please move your picture so it can be viewed on how to do the calculations for these numbers. Please HIDE YOUR picture in the bottom right-hand corner of the video. Thank you.