# Question

For the period 1999-2004, using daily data, compute the following:

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?

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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