Suppose that the price of gold at close of trading yesterday was $300 and its volatility was

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Suppose that the price of gold at close of trading yesterday was $300 and its volatility was estimated as 1.3% per day. The price at the close of trading today is $298. Update the volatility estimate using

(a) the EWMA model with = 0.94 and

(b) the GARCH(1,1) model with =0.000002,

= 0.04, and = 0.94.

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Risk Management And Financial Institutions

ISBN: B008AUN1VW

1st Edition

Authors: John C Hull

Question Posted: Jul 10, 2024 10:04 AM

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Suppose that the price of gold at close of trading yesterday was $300 and its volatility was

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Risk Management And Financial Institutions

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