The most recent estimate of the daily volatility of an asset is 1.5% and the price of
Question:
The most recent estimate of the daily volatility of an asset is 1.5% and the price of the asset at the close of trading yesterday was $30.00. The parameter λ in the EWMA model is 0.94. Suppose that the price of the asset at the close of trading today is $30.50. How will this cause the volatility to be updated by the EWMA model?
Fantastic news! We've located the answer you've been seeking!
Step by Step Answer:
Answer rating: 44% (9 reviews)
In this case and so t...View the full answer
Answered By
Utsab mitra
I have the expertise to deliver these subjects to college and higherlevel students. The services would involve only solving assignments, homework help, and others.
I have experience in delivering these subjects for the last 6 years on a freelancing basis in different companies around the globe. I am CMA certified and CGMA UK. I have professional experience of 18 years in the industry involved in the manufacturing company and IT implementation experience of over 12 years.
I have delivered this help to students effortlessly, which is essential to give the students a good grade in their studies.
3.50+
2+ Reviews
10+ Question Solved
Related Book For
Question Posted:
Students also viewed these Corporate Finance questions

The most recent estimate of the daily volatility of the U.S. dollarsterling exchange rate is 0.6%, and the exchange rate at 4 p.m. yesterday was 1.5000. The parameter in the EWMA model is 0.9....

Make a chart of the U.S. current account deficit, both in absolute $ value and as a share of GDP from 1990 to present. Find the most recent estimate of the U.S. current account deficit for the next...

The current estimate of daily volatility is 1 percent. The latest return is 2 percent. Using the EWMA model with A = 0.94, compute the updated estimate of volatility.

Mary Wells Lawrence once said, In this business, you can never wash the dinner dishes and say they are done. You have to keep doing them constantly. If you were a business executive or information...

Two very small 8.55g spheres, 15.0 cm apart from center to center, are charged by adding equal numbers of electrons to each of them. Disregarding all other forces, how many electrons would you have...

Assuming that the switch in Fig. 7.87 has been in position A for a long time and is moved to position B at t =0, find v0 (t) for t ¥ 0. 20 k 12 v (t 30 kS2

Convert the following decimal numbers to the indicated bases, using the methods of Examples 14. (a) 7562.45 to octal (b) 1938.257 to hexadecimal (c) 175.175 to binary. Example 14

Refer to the data in E2417. Requirements 1. Calculate each divisions RI. Interpret your results. 2. Calculate each divisions EVA. Interpret your results.

Using the following information calculate the after tax Weighted Average Cost of Capital. There are 10 million ordinary shares. The shares last traded at $10.00 each and just recently paid a...

A major city in the northeast wants to establish a central transportation station from which visitors can ride buses to four historic landmarks. The city is arranged in a grid, or block, structure...

What is the difference between the exponentially weighted moving average model and the GARCH(1,1) model for updating volatilities?

A company uses the GARCH(1,1) model for updating volatility. The three parameters are , , and . Describe the impact of making a small increase in each of the parameters while keeping the others fixed.

What are the three variables in expectancy theory and how do they explain motivation?

What volume of 0.150 M hydrochloric acid reacts with excess lead(II) nitrate solution in order to yield 1.88 g of lead(II) chloride precipitate?

Weather conditions affect the smog equilibrium in the atmosphere. What happens to the nitrogen dioxide concentration on (a) Hot, sunny days and (b) Cool, overcast days? N 2 O 4 (g) + heat 2 NO 2 (g)...

Calculate the mass of nitrogen dioxide gas occupying a volume of 2.50 L at 35 C and 0.974 atm pressure.

Given that 555 mL of sulfur dioxide at STP dissolves in 0.250 L of solution, draw a mole concept map and calculate each of the following. (a) Grams of SO 2 gas (at STP) dissolved in the solution (b)...

Ground water sometimes contains traces of hydrogen sulfide, which has the odor of rotten eggs. Chlorine gas is used to purify the water for drinking. The resulting sulfur reacts with fluorine gas to...

The managers of many U.S.based MNCs have heard arguments that an MNC's exposure to currency movements will have unfavorable effects on its cash flows and earnings in some periods, and favorable...

Pearl Medavoy will invest $10,240 a year for 20 years in a fund that will earn 10% annual interest. . If the first payment into the fund occurs today, what amount will be in the fund in 20 years? If...

What are the economic benefits that options provide?

Suppose you want to make an investment that will be profitable if a companys stock price falls. What are the pros and cons of buying a put option on the companys stock versus short selling the stock?

Suppose you own an American call option on Pfizer stock. Pfizer stock has gone up in value considerably since you bought the option, so your investment has been profitable. There is still one month...

Explain the importance, functions, and participants of the capital market in your own words.

Discuss in detail capital market theory.

Given The Following Data: Smith & Sons, Inc Balance Sheet December 31, 2016 and 2015 (In millions) 2016 ($) 2015 ($) Assets Current assets Cash and cash equivalents 200 400 Accounts receivable 900...
Question Categories