The most recent estimate of the daily volatility of the dollarsterling exchange rate is 0.6% and the
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The most recent estimate of the daily volatility of the dollar–sterling exchange rate is 0.6% and the exchange rate at 4:00 P.M. yesterday was 1.5000. The parameter in the EWMA model is 0.9. Suppose that the exchange rate at 4:00 P.M. today proves to be 1.4950. How would the estimate of the daily volatility be updated?
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