Question
At the end of Monday, the estimated volatility of asset A is 32% per year (remember, it's per year). On Tuesday asset X produces a
At the end of Monday, the estimated volatility of asset A is 32% per year (remember, it's per year). On Tuesday asset X produces a return of 5%. An EWMA model with lambda equal to 0.8 is used. What is an estimate of the volatility of asset X at the end of Tuesday?
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Money Locates You
Authors: Joan Ekobena
1st Edition
1774821257, 978-1774821251
