Question: Suppose that the price of an asset at close of

Suppose that the price of an asset at close of trading yesterday was $300 and its volatility was estimated as 1.3% per day. The price at the close of trading today is $298. Update the volatility estimate using
(a) The EWMA model with  = 0.94
(b) The GARCH(1,1) model with  = 0.000002,  = 0.04, and  = 0.94.

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  • CreatedJuly 30, 2015
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