The returns of two stocks were x_n=0.02 and y_n=0.07, their estimated daily volatilities were _x,n=0.01 and _y,n=0.05, and their estimated correlation was _n=0.5. Assuming =0.94, what is the updated correlation forecast _n+1, given the above information, under the exponentially weighted moving average (EWMA) model?

a.

0.45

b.

0.64

c.

0.38

d.

0.57