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Suppose that the current daily volatilities of asset A and asset B are 1.92% and 2.50%, respectively. The prices of the assets at close of
Suppose that the current daily volatilities of asset A and asset B are 1.92% and 2.50%, respectively. The prices of the assets at close of trading yesterday were $30 and $50 and the estimate of the coefficient of correlation between the returns on the two assets made at that time was 0.35. The parameterused in the EWMA model is 0.95.
Round your answer to six decimal places (e.g., 0.123456)
- The current estimate of the covariance between the assets is equal to?
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- The volatility of an asset is 25% per annum. The standard deviation of the percentage price change in one trading day is 1.57% The price is normal distributed with zero mean, the estimated 95% confidence limits for the percentage price change in one day is therefore -3.09 to +3.09? True or False
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