No.PZ2016062402000051 (选择题)来源: Handbook
Until January 1999 the historical volatility for the Brazilian real versus the U.S. dollar had been very small for several years. On January 13, Brazil abandoned the defense of the currency peg. Using the data from the close of business on January 13, which of the following methods for calculating volatility would have shown the greatest jump in measured historical volatility?
解析
The EWMA model puts a weight of 0.06 on the latest observation, which is higher than the weight of (1/60) = 0.0167 for the 60-day MA and (1/250) = 0.004 for the 250-day MA.
