At the End of Thursday,the Estimated Volatility of Asset B

question 6

Multiple Choice

At the end of Thursday,the estimated volatility of asset B is 1% per day.During Friday asset B produces a return of zero.An EWMA model with lambda equal to 0.9 is used.What is an estimate of the volatility of asset B at the end of Friday?

• A) 0.98%
• B) 0.95%
• C) 0.92%
• D) 0.90%

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