8. The current estimate of daily volatility is 1.5%. The closing price of an asset yesterday was $30.00. The closing price of the asset today is $30.50. Using the EWMA (Exponentially Weighted Moving Average) model (with λ = 0.94), the updated estimate of volatility is: A. 1.5105% B. 1.5205% C. 1.5092% D. 1.5096%
8. The current estimate of daily volatility is 1.5%. The closing price of an asset yesterday was $30.00. The closing price of the asset today is $30.50. Using the EWMA (Exponentially Weighted Moving Average) model (with λ = 0.94), the updated estimate of volatility is: A. 1.5105% B. 1.5205% C. 1.5092% D. 1.5096%
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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A3)
![8. The current estimate of daily volatility is 1.5%. The closing price of an asset yesterday was
$30.00. The closing price of the asset today is $30.50. Using the EWMA (Exponentially
Weighted Moving Average) model (with 2 = 0.94), the updated estimate of volatility is:
A. 1.5105%
B. 1.5205%
C. 1.5092%
D. 1.5096%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F10d3654d-7652-40dd-807f-5276d7b7dcac%2Fca03ee4e-3d38-44d9-8346-27d2a2746511%2Fbyr67ns_processed.jpeg&w=3840&q=75)
Transcribed Image Text:8. The current estimate of daily volatility is 1.5%. The closing price of an asset yesterday was
$30.00. The closing price of the asset today is $30.50. Using the EWMA (Exponentially
Weighted Moving Average) model (with 2 = 0.94), the updated estimate of volatility is:
A. 1.5105%
B. 1.5205%
C. 1.5092%
D. 1.5096%
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