At the end of Thursday,the estimated volatility of asset A is 2% per day.During Friday asset A produces a return of 3%.An EWMA model with lambda equal to 0.9 is used.What is an estimate of the volatility of asset A at the end of Friday?
A) 2.08%
B) 2.10%
C) 2.12%
D) 2.14%

Question

Quizplus · Accepted Answer

The variance rate is 0.9×0.02²+0.1×0.03²= 0.00045.The volatility per day is the square root of this or 2.12%.

At the End of Thursday,the Estimated Volatility of Asset a Is