9. Until January 1999 the historical volatility for the Brazilian real versus the U.S. dollar had been very small for several years. On January 13th, 1999, Brazil abandoned the defense of the currency peg. Using the historical data up to the close of business on January 13th, which of the following methods for estimating volatility would have shown the greatest effect of exchange rate change between January 12th and 13th, 1999 on the volatility estimation?

Select one:

a.

100-day equal weight

b.

250-day equal weight

c.

45-day equal weight

d.

Exponentially weighted with a daily decay factor () of 0.99