Question
Yesterdays variance of Microsoft stock was 0.09. During the day, the assets price fell from $88.00 to $80.50. Using the exponentially weighted moving average (EWMA)
Yesterdays variance of Microsoft stock was 0.09. During the day, the assets price fell from $88.00 to $80.50. Using the exponentially weighted moving average (EWMA) model with a parameter = 0.94, calculate the new volatility estimate.
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Finance for Non Financial Managers
Authors: Pierre Bergeron
7th edition
176530835, 978-0176530839
