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At the End of Thursday,the Estimated Volatility of Asset a Is

Question 12

Multiple Choice

At the end of Thursday,the estimated volatility of asset A is 2% per day.During Friday asset A produces a return of 3%.An EWMA model with lambda equal to 0.9 is used.What is an estimate of the volatility of asset A at the end of Friday?


A) 2.08%
B) 2.10%
C) 2.12%
D) 2.14%

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