Suppose that the price of gold at close of trading yesterday was $600, and its volatility was

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Suppose that the price of gold at close of trading yesterday was $600, and its volatility was estimated as 1.3% per day. The price at the close of trading today is $596. Update the volatility estimate using the EWMA model with λ = 0.94.

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Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Question Posted: Jan 20, 2016 09:02 AM

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Suppose that the price of gold at close of trading yesterday was $600, and its volatility was

Question:

λ = 0.94

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The return on gold is Using ...View the full answer

Fundamentals of Futures and Options Markets

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