Question
Yesterday the closing price of a stock was $95, and today's volatility was estimated as 1.8% per day. If today's closing price is 92, update
Yesterday the closing price of a stock was $95, and today's volatility was estimated as 1.8% per day. If today's closing price is 92, update the volatility estimate using:
(a) The EWMA model with l = 0.92.
(b) The GARCH (1,1) model with w = 0.000002, a = 0.08, and b = 0.91.
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International financial management
Authors: Jeff Madura
12th edition
1133947832, 978-1305195011, 978-1133947837
