问一道题：NO.PZ2016062402000049 [ FRM I ]

NO.PZ2016062402000049 问题如下 A bank uses the exponentially weightemoving average (EWMtechnique with λ of 0.9 to mol the ily volatility of a security. The current estimate of the ily volatility is 1.5%. The closing priof the security is US20 yestery anUS18 toy. Using continuously compounreturns, whis the upteestimate of the volatility? A.3.62% B.1.31% C.2.96% 5.44% The log return is ln(18/20)=-10.54%. The new varianforecasts is h=0.90×(1.5∧2)+(1−0.90)×10.54∧2=0.001313h=0.90\times{(1.5^\wee2)}+{(1-0.90)}\times10.54^\wee2=0.001313h=0.90×(1.5∧2)+(1−0.90)×10.54∧2=0.001313, or taking the square root, 3.62%.

NO.PZ2016062402000049 1.31% 2.96% 5.44% The log return is ln(18/20)=-10.54%. The new varianforecasts is h=0.90×(1.5∧2)+(1−0.90)×10.54∧2=0.001313h=0.90\times{(1.5^\wee2)}+{(1-0.90)}\times10.54^\wee2=0.001313h=0.90×(1.5∧2)+(1−0.90)×10.54∧2=0.001313, or taking the square root, 3.62%.volatity1.5%为什么计算时候用1.5平方而没有带上百分号呢

这一题可以用（18－20）/20吗 还是一定要取log 要如何知道要取log

没看明白