Question

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.


$1.99
Sales1
Views52
Comments0
  • CreatedJuly 30, 2015
  • Files Included
Post your question
5000