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Hi everyone,I am having trouble with the below question, any help would be much appreciated:The daily volatility of a stock price is 2%. Assuming the normal distribution with zero mean for daily price changes what is an approximate 99% confidence interval for the percentage price change in 10 days?Thanks,

i guess the answer to your question is (NormalInverse(0.005), NormalInverse(.995))

If the returns are independent and the vol is constant, the 10 day return is N(0,10*0.02^2). You can work it out from that.P.S. 2% is very low for a stock vol!

QuoteOriginally posted by: farrelb1Hi everyone,I am having trouble with the below question, any help would be much appreciated:The daily volatility of a stock price is 2%. Assuming the normal distribution with zero mean for daily price changes what is an approximate 99% confidence interval for the percentage price change in 10 days?Thanks,+/- 2.81 times the 10 day vol.If returns are iid, then use the square root of time rule to get to the 10 day vol.

Thanks for the replies,Where did you get the +/-2.81 from?I thought it may be worked out using 0+/-(95% critical value)*sigma/root(n)...however i don't get the right answerBy the way...the three options are [-2.57%,2.57%] or [-16.25%,16.25%] or none of the above.

Apologies, 2.5758 is the correct value. 2.81 was the next line value, for 99.5% confidence interval in the table.

Awesome thanks so much for your help.FYI i ended up getting the correct answer i.e. 2.57% * root(10) * 2 = 16.25%