Question
The bank index closed yesterday at 1,200 when the estimated daily volatility of the index was 2%. Today the index fell to 1,080. Using the
The bank index closed yesterday at 1,200 when the estimated daily volatility of the index was 2%. Today the index fell to 1,080. Using the EWMA model and setting lambda to 0.9, the updated volatility equals
The answer is 0.0369
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Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
13th edition
132743469, 978-0132743464
