Question
3.1 Suppose that the price of an asset at close of trading yesterday was $350 and its volatility was estimated as 1.4% per day. The
3.1 Suppose that the price of an asset at close of trading yesterday was $350 and its volatility was estimated as 1.4% per day. The price at the close of trading today is $347. Update the volatility estimate using
(a) The EWMA model with lamda (^) = 0.95,
(b) The GARCH (1,1) model with w = 0.000003, alpha (a)= 0.05, and beta (b) = 0,95
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Fundamentals of Investment Management
Authors: Geoffrey Hirt, Stanley Block
10th edition
0078034620, 978-0078034626
