Question
Revision lecture: The daily volatility of the USD-GBP exchange rate is given as 0.6% and the exchange rate at the closing of last day trading
Revision lecture:
The daily volatility of the USD-GBP exchange rate is given as 0.6% and the exchange rate at the closing of last day trading date (at 16:00) was 1.50. An EWMA model is fitted and the parameter is 0.9. Today the market closes at 1.4950, what is the updated estimate of volatility?
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Personal Finance
Authors: Jeff Madura, Hardeep Singh Gill
3rd Canadian Edition
978-0133035575, 133035573, 978-0133970524, 133970523, 978-0134040042
