Suppose that the price of gold at close of trading yesterday was $600 and its volatility was

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• Suppose that the price of gold at close of trading yesterday was $600 and its volatility was estimated as 1.3% per day. The price at the close of trading today is $596. Update the volatility estimate using

(a) The EWMA model with A : 0.94

(b) The GARCH(l, 1) model with to : 0.000002, ot = 0.04, and ,6 = 0.94.

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Options Futures And Other Derivatives

ISBN: 9780273759072

8th Global Edition

Authors: John Hull

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Question Posted: Oct 22, 2024 04:00 AM

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Suppose that the price of gold at close of trading yesterday was $600 and its volatility was

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Options Futures And Other Derivatives

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