NO.PZ2016062402000049
问题如下:
A bank uses the exponentially weighted moving average (EWMA) technique with λ of 0.9 to model the daily volatility of a security. The current estimate of the daily volatility is 1.5%. The closing price of the security is USD 20 yesterday and USD 18 today. Using continuously compounded returns, what is the updated estimate of the volatility?
选项:
A.3.62%
B.1.31%
C.2.96%
D.5.44%
解释:
The log return is ln(18/20)=-10.54%. The new variance forecasts is , or taking the square root, 3.62%.