What does the Autocorrelation vs Lag Plot (Correlogram) tell us? (FRM Part 1, Quantitative Analysis)

[@finRGB]

FRM Learning Objective(s): 1) Define the autocovariance function and the autocorrelation function. 2) Describe sample autocorrelation and partial autocorrelation. 3) Define and describe the properties of autoregressive (AR) processes. 4) Define and describe the properties of moving average (MA) processes. 5) Define and describe the properties of autoregressive moving average (ARMA) processes.

[@akilimali8726]

Very clear explanation. Thank you so much for providing the deep intuition of the concepts.

[@finRGB]

Glad you found the video helpful, Akili.

[@toniarnold8605]

Great! Thanks a lot!

[@amitpandey0386]

Great explanation, thanks

[@user-wr4yl7tx3w]

Can you do a video on filtered historical simulation VaR