NO.PZ2020011303000084
问题如下:
Suppose that the price of an asset at the close of trading yesterday was USD 20 and its volatility was estimated as 1.4% per day. The price at the close of trading today is USD 19. What is the new volatility estimate using the EWMA with a λ of 0.9?
选项:
解释:
The new return is –1/20 = –0.05. The new variance rate estimate is
0.9 × 0.014^2 + 0.1 × (−0.05)^2 = 0.000426
The new volatility is the square root of this or 2.06%.
σ(n-1)=0.014,μ(n-1)为啥用−0.05? 我理解−0.05应该是μ(n)