Question
The estimate of the volatility of an asset made at the end of Tuesday is 1% per day. On Wednesday the return realized on the
The estimate of the volatility of an asset made at the end of Tuesday is 1% per day. On Wednesday the return realized on the asset is 1.5%. What is the update to the volatility estimate using the EWMA model with = 0.9
a.1.189%
b.2.98%
c.2.35%
d.1.06%
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
11th edition
324422870, 324422873, 978-0324302691
