If I generate a Standard Error of a 30 day Regression, let's say, and I want to extrapolate how those errors would behave over 250 days. How would I do that? Should I scale by sqrt(30/250), or by some mean reverting process, or what? -- Michael Robbins Director, Primary Dealership Canadian Imperial Bank of Commerce, World Markets New York Sent via Deja.com http://www.deja.com/ Before you buy. ================================================================= Instructions for joining and leaving this list and remarks about the problem of INAPPROPRIATE MESSAGES are available at http://jse.stat.ncsu.edu/ =================================================================
