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carpd
2008 Feb 15
2
How to estimate weekly Variance
Dear All:
Using the Excel formula below I am able to estimate
daily variance(Daily VarPD)for PD,but I can't figure
out how to estimate the Weekly variance for PD. Any
hints?
Daily VarPD = (PD * (1 - TD))/TD + VarTD *
((PD*(1-TD)+ PD^2*TD))/TD^3
WK TD VARTD PD Daily VarPD
28 0.014735 0.0000449 0 0
28 0.012421 0.0000449 0 0
28 0.014396 0.0000449 71 7005
28 0.01489...