What is the effect of changing from 0.94 to 0.97 in the EWMA calculations in the

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What is the effect of changing λ from 0.94 to 0.97 in the EWMA calculations in the four-index example at the end of Section 20.6? Use the spreadsheets on the author’s web site.

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Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Question Posted: Jan 20, 2016 09:02 AM

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What is the effect of changing from 0.94 to 0.97 in the EWMA calculations in the

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Fundamentals of Futures and Options Markets

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