Suppose that the price of an asset at close of trading yesterday was $300 and its volatility

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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 λ = 0.94

(b) The GARCH(1,1) model with ω = 0.000002, α = 0.04, and β = 0.94.

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Risk Management and Financial Institutions

ISBN: 978-1118955949

4th edition

Authors: Hull John

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Question Posted: Jul 30, 2015 03:09 AM

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Suppose that the price of an asset at close of trading yesterday was $300 and its volatility

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The proportional change in the price of the asset is 2300 000667 a Usi...View the full answer

Risk Management and Financial Institutions

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