At the end of Thursday,the estimated volatility of asset B is 1% per day.During Friday asset B produces a return of zero.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) 0.98%
B) 0.95%
C) 0.92%
D) 0.90%
Correct Answer:
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Q1: The parameters in a GARCH (1,1)model are:
Q2: Which of the following is true of
Q3: Which of the following is true of
Q3: Which of the following is true
A) EWMA
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Q17: Which of the following is true when
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