Question
4. Suppose that the price of an asset at close of trading yesterday was $300 and its volatility was estimated as 1.3% per day. The
4. Suppose that the price of an asset at close of trading yesterday was $300 and its volatility was estimated as 1.3% per day. The price at the close of trading today is $298. Update the volatility estimate using
(i) The EWMA model with = 0.94
(ii) The GARCH(1,1) model with = 0.000002, = 0.04, and = 0.94.
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Fundamentals Of Corporate Finance
Authors: Stephen Ross, Randolph Westerfield, Bradford Jordan
13th Edition
1265553602, 978-1265553609
