Question
1.Yesterday the closing price of a stock was $150, and today's volatility is estimated as 1.8% per day. If today's closing price is 145, update
1.Yesterday the closing price of a stock was $150, and today's volatility is estimated as 1.8% per day. If today's closing price is 145, update the volatility estimate for tomorrow using:
a.The EWMA model with = 0.92.
b.The GARCH (1, 1) model with = 0.000002, = 0.06, and = 0.93.
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Data Analysis And Decision Making
Authors: Christian Albright, Wayne Winston, Christopher Zappe
4th Edition
538476125, 978-0538476126
