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Calculating PRIIPs Category 2 Stress Scenario Volatility

Article Quant Q&A · Author: Yan s
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Summary

The document raises a question about calculating rolling volatility for a PRIIPs category 2 stress scenario. The asker has calculated the initial sequence of log returns but is unsure how to apply the formula shown in presentation slides and reports getting inconsistent results.

The reply points to the PRIIPs regulatory technical standards annex as the calculation reference. It does not reproduce the formula, work through an example, or explain how to choose inputs, so the material offers a source for further research rather than a complete calculation guide. Readers should consult the referenced regulatory method directly to resolve the rolling-window details.

Key ideas

  • The question concerns rolling volatility used in a PRIIPs category 2 stress scenario.
  • The asker has computed initial log returns but cannot determine how to apply the formula.
  • The reply directs readers to the PRIIPs regulatory technical standards annex for the method.
  • No worked calculation or detailed explanation is provided.

Tags

VolatilityRisk managementStatistics
Full text
# PRIIPs Stress Scenario calculation category 2


# PRIIPs Stress Scenario calculation category 2












Can someone explain to me please how to calculate the rolling volatility from slide 25 in these slides?

I get the first 21 LN returns like in the example. But then I don't really know what to insert in the formula. I get very different answers.

## Answer by Lahcen Oula (score 0)

https://quant.stackexchange.com/a/57655

Please refer to the approach described in the PRIIP-RTS annex iv p10-13 https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32017R0653&from=en

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.