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In Excel, how to get the white scaled ret if we have ln px ln diff 20D stdev ewma var MLE sigma long run White

In Excel, how to get the white scaled ret if we have

ln px

ln diff

20D stdev

ewma

var

MLE

sigma

long run

White Scaling How to make observations in different volatility environments relevant today? The idea: tN(0,1) then rt=tt Scale returns s periods ago to today t : r~ts=^tsrts^t Use scaled returns r~ts for historical analysis

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