Question
Which ONE of the following statements is TRUE with regard to EQMA volatility models? Larger n gives more volatile estimates for the volatility None of
Which ONE of the following statements is TRUE with regard to EQMA volatility models?
Larger n gives more volatile estimates for the volatility
None of the answers is correct
The model takes an equally weighted average of returns as the estimate of standard deviation
The number of assets in the portfolio is given by n
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Applied Quantitative Finance
Authors: Härdle
3rd Edition
3662544857, 978-3662544853
