The current estimate of daily volatility is 1 percent. The latest return is 2 percent. Using the

Question:

The current estimate of daily volatility is 1 percent. The latest return is 2 percent. Using the EWMA model with A = 0.94, compute the updated estimate of volatility.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

See More Books

Question Posted: May 03, 2016 02:17 AM

See More Questions

Suppose that the daily volatilities of asset A and asset B calculated at the close of trading yesterday are 1.6% and 2.5%, respectively. The prices of the assets at close of trading yesterday were...
The most recent estimate of the daily volatility of the U.S. dollarsterling exchange rate is 0.6%, and the exchange rate at 4 p.m. yesterday was 1.5000. The parameter in the EWMA model is 0.9....
The most recent estimate of the daily volatility of an asset is 1.5% and the price of the asset at the close of trading yesterday was $30.00. The parameter in the EWMA model is 0.94. Suppose that...
Glass bottles can be either recycled (crushed and re-melted) or reused. The market will tend to choose the cheapest path. What factors will tend to affect the relative cost of these options? Is the...
The Quickie brand wheelchair is the most popular customized wheelchair on the market. Its market share is 90 percent. Other manufacturers produce special-use wheelchairs that fold, that are made of...
DE4-14 Use Gay Gillen eTravel's classified balance sheet in Exhibit 4-11, page 139, to compute the current ratio and the debt ratio of Gillen's business at April 30. 1. How do Gillen's ratios compare...
List steps HR can take to support virtual work.(pp. 382385)
Given below is a list of account balances for Currie Hospital as of December 31, 2004. Prepare a balance sheet as of December 31, 2004, in good form. AccountBalance Gross plant & equipment...
You are the CFO of a private medium size company for which the main activity is the manufacturing, sale and distribution of low-cost computers. Your company manufactures the computers in India,...
For the plane trusses shown in Figures P3-29 and P3-30, determine the horizontal and vertical displacements of node 1 and the stresses in each element. All elements have E = 210 GPa and A = 4.0 10-4...
For the EWMA model with decay of 0.94, the number of effective observations is said to be small. Explain.
Why is the general GARCH model not used commonly to model the full covariance matrix?
Here are the accounts in the ledger of Mishas Jewel Box, with the balances as of December 31, the end of its fiscal year. Cash ....................... $ 13,242 Accounts Receivable ...................
What volumetric airflow rate (Qa) is required to maintain a G value of 500s-1 in a basin that is 2.75 m deep and provides a liquid detention time of 5 min? Perform the exercise for water temperatures...
Read this article, then answer the following questions: 1- Description of Instrument: a. Title of instrument, author(s), publication date 2/18/24, 5:43 PM Abuse Risk Inventory for Women: EBSCOhost...
Suppose that there is a magnetic field B(x, y, z) = x2 filling a 3D space. The coordinates are set up as a Cartesian coordinate system with = 2. For all the discussions below, ignore the units. a)...
A vertical solid cylinder of uniform cross-sectional area A floats in water. The cylinder is partially submerged. When the cylinder floats at rest, a mark is aligned with the water surface. The...
Non-manufacturing fixed cost for year 2011 equal to:$60,780 out of which half are Administrative expenses.Administrative expenses are expected to increase by: 10%The total Variable nonmanufacturing...
According to OECD data, in 2015, household saving as a fraction of disposable income in Germany was 10.1 percent, while in Brazil it was 14.2 percent. All else equal, what does this difference tell...
Modify the counter from Exercise 5.44 such that the counter will either increment by 4 or load a new 32-bit value, D, on each clock edge, depending on a control signal Load. When Load = 1, the...
The city of Oak Ridge is evaluating three mutually exclusive landscaping plans for refurbishing a public greenway. Benefits to the community have been estimated by a landscaping committee, and the...
An area on the Colorado River is subject to periodic flood damage that occurs, on the average, every two years and results in a $2,000,000 loss. It has been proposed that the river channel be...
Ten years ago, the port of Secoma built a new pier containing a large amount of steel work, at a cost of $300,000, estimating that it would have a life of 50 years. The annual maintenance cost, much...
The tolal landed coet with the order gaantly sire of 6,000 unts is 4 (Enter your response roundod to the nearest dolar)
Boyne Inc. had beginning inventory of $12,000 at cost and $20,000 at retail. Net purchases were $120,000 at cost and $170,000 at retail. Net markups were $10,000, net markdowns were $7,000, and sales...
Apple inc. CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (In milions, except number of shares which are reflected in thousands and par value) LABILITES AND SHAREHOLDERS' EQUITY: Current...

The current estimate of daily volatility is 1 percent. The latest return is 2 percent. Using the

Question:

Step by Step Answer:

The updated volatility can be compute...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

Students also viewed these Finance questions