An Excel spreadsheet containing over 900 days of daily data on a number of different exchange rates

Question:

An Excel spreadsheet containing over 900 days of daily data on a number of different exchange rates and stock indices can be downloaded from the author€™s website:
www-2.rotman.utoronto.ca/ˆ¼hull/RMFI/data. Choose one and one stock index. Estimate the value of ï¬ in the EWMA model that minimizes the value of

where vi is the variance forecast made at the end of day i ˆ’ 1 and ï¢i is the
variance calculated from data between day i and day i + 25. Use the Solver
tool in Excel. To start the EWMA calculations, set the variance forecast at
the end of the first day equal to the square of the return on that day.

Exchange Rate
The value of one currency for the purpose of conversion to another. Exchange Rate means on any day, for purposes of determining the Dollar Equivalent of any currency other than Dollars, the rate at which such currency may be exchanged into Dollars...