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?

Select one:

a.

0.01%

b.

0.95%

c.

2.87%

d.

2.12%

e.

0.00030