The most recent estimate of the daily volatility of the U.S. dollarsterling exchange rate is 0.6%, and
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The most recent estimate of the daily volatility of the U.S. dollar–sterling exchange rate is 0.6%, and the exchange rate at 4 p.m. yesterday was 1.5000. The parameter λ in the EWMA model is 0.9. Suppose that the exchange rate at 4 p.m. today proves to be 1.4950. How would the estimate of the daily volatility be updated?
Exchange RateThe value of one currency for the purpose of conversion to another. Exchange Rate means on any day, for purposes of determining the Dollar Equivalent of any currency other than Dollars, the rate at which such currency may be exchanged into Dollars...
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