A company uses an EWMA model for forecasting volatility It decides to change the parameter from 0 95 to 0 85 Explain the likely impact on the forecasts ...

Reducing from 095 to 085 means that more weight is put ...

A company uses an EWMA model for forecasting volatility. It decides to change the parameter from

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A company uses an EWMA model for forecasting volatility. It decides to change the parameter λ from 0.95 to 0.85. Explain the likely impact on the forecasts.

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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 09:03 AM

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A company uses an EWMA model for forecasting volatility. It decides to change the parameter from

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Fundamentals of Futures and Options Markets

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