Suppose that the current daily volatilities of asset A and asset B are 2.76% and 2.44%, respectively.

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Suppose that the current daily volatilities of asset A and asset B are 2.76% and 2.44%, respectively. The prices of the assets at close of trading yesterday were $35 and $52 and the estimate of the coefficient of correlation between the returns on the two assets made at that time was 0.32. The parameterused in the EWMA model is 0.95. (Round to four decimal places).

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The current estimate of the covariance between the assets is equal to........

Posted Date: May 18, 2024 07:14 PM

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Suppose that the current daily volatilities of asset A and asset B are 2.76% and 2.44%, respectively.

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