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?
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%.
题目问：昨日收盘价是USD20，每日波动率是1.4%，今日收盘价是19，λ=0.9，通过EMWA来计算新的波动率是多少？
new return=(19-20)/20=-5%
new volatility=(0.9*1.4%^2+0.1*(-5%^2))^0.5=2.06%
收益率可以用ln（19/20）
