Financial Risk Manager Part 1

Financial Risk Manager Part 1

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Q-84. The current estimate of daily volatility is 1.5%. The closing price of an asset yesterday was 30.00.Theclosingpriceoftheassettodayis30.00. The closing price of the asset today is 30.50. Using the EWMA (Exponentially Weighted Moving Average) model (with λ = 0.94), the updated estimate of volatility is:




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