16.4. A company uses an EWMA model for forecasting volatility. It decides to change the parameter from

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16.4. A company uses an EWMA model for forecasting volatility. It decides to change the parameter from 0.95 to 0.85. Explain the likely impact on the forecasts.

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Fundamentals Of Futures And Options Markets

ISBN: 9780130176028

4th Edition

Authors: John C. Hull

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Question Posted: Jul 27, 2024 03:00 AM

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16.4. A company uses an EWMA model for forecasting volatility. It decides to change the parameter from

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Fundamentals Of Futures And Options Markets

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