At the End of Thursday,the Estimated Volatility of Asset a Is

question 12

Multiple Choice

At the end of Thursday,the estimated volatility of asset A is 2% per day.During Friday asset A produces a return of 3%.An EWMA model with lambda equal to 0.9 is used.What is an estimate of the volatility of asset A at the end of Friday?

• A) 2.08%
• B) 2.10%
• C) 2.12%
• D) 2.14%

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Definitions:

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