20.27. Suppose that in Problem 20.26 the price of silver at the close of trading yesterday was...
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20.27. Suppose that in Problem 20.26 the price of silver at the close of trading yesterday was
$16, its volatility was estimated as 1.5% per day, and its correlation with gold was estimated as 0.8. The price of silver at the close of trading today is unchanged at $16. Update the volatility of silver and the correlation between silver and gold using the EWMA model with l = 0.94.
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