Suppose that observations on an exchange rate at the end of the past 11 days have been
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Suppose that observations on an exchange rate at the end of the past 11 days have been 0.7000, 0.7010, 0.7070, 0.6999, 0.6970, 0.7003, 0.6951, 0.6953, 0.6934, 0.6923, and 0.6922. Estimate the daily volatility using both equation (8.2) and equation (8.4).
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- where it is the mean of the li's: m ( - i=1 198 i=1 (8.2)
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