For the period 1999-2004, using daily data, compute the following: a. An EWMA estimate, with b =
Question:
a. An EWMA estimate, with b = 0.95, of IBM's volatility using all data.
b. An EWMA estimate, with b = 0.95, of IBM's volatility, at each date using only the previous 60 days of data. Plot both estimates. How different are they?
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Here is a figure that compares the estimated EWMA 60day volatility with the historical volatili...View the full answer
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