Suppose that the price of Asset X at close of trading yesterday was $300 and its volatility was estimated as 1.3% per day. The price of C at the close of trading today is $298. Suppose further that the price of Asset Y at the close of trading yesterday was $8, its volatility was estimated as 1.5% per day, and its correlation with X was estimated as .8. The price of Y at the close of trading today is unchanged at $8. Update the volatility of X and Y and the correlation between X and Y using:

(a) The EWMA model withO= 0.94

(b) The GARCH(1,1) model withZ= 0.000002,D= 0.04, andE= 0.94

11.16.Suppose that the price of Asset X at close of trading yesterday was $300 and its volatility wasestimated as 1.3% per day. The price of X at the close of trading today is $298. Suppose furtherthat the price of Asset Y at the close of trading yesterday was $8, its volatility was estimated as1.5% per day, and its correlation with Xwas estimated as 0.8. The price of Y at the closeof trading today is unchanged at $8. Update the volatility of X and Y and the correlation betweenX and Y Using (a) The EWMA model withO= 0.94 (b) The GARCH(1,1) model withZ= 0.000002,D= 0.04, andE= 0.94