For the EWMA model with decay of 0.94, the number of effective observations is said to be

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For the EWMA model with decay of 0.94, the number of effective observations is said to be small. Explain.

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Value at Risk The New Benchmark for Managing Financial Risk

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Question Posted: May 03, 2016 02:17 AM

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For the EWMA model with decay of 0.94, the number of effective observations is said to be

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For the MA the average life is half the window For an MA60 half the weight is ...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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