Question
Question 1.1 Suppose that the price of an asset at close of trading yesterday was $350 and its volatility was estimated as 1.4% per day.
Question
1.1 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 = 0.95, (b) The GARCH(1,1) model with = 0.000003, = 0.05, and = 0.95
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International Finance Theory And Policy
Authors: Paul Krugman, Maurice Obstfeld, Marc Melitz
12th Global Edition
1292417005, 978-1292417004
