Financial Risk Manager Part 1

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Explanation:

\sigma_n^2 = \lambda \sigma_{n-1}^2 + (1 - \lambda) u_{n-1}^2 = 0.96 (0.015^2) + (1 - 0.96)(0.01^2)

= 0.000216 + 0.000004 = 0.00022

\sigma = \sqrt{0.00022} = 0.01483 \text{ or } 1.48\%

(Book 4, Module 49.3, LO 49.e)

Explanation:

\sigma_n^2 = \lambda \sigma_{n-1}^2 + (1 - \lambda) u_{n-1}^2 = 0.96 (0.015^2) + (1 - 0.96)(0.01^2)

= 0.000216 + 0.000004 = 0.00022

\sigma = \sqrt{0.00022} = 0.01483 \text{ or } 1.48\%

(Book 4, Module 49.3, LO 49.e)

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RRohit

Last updated: June 26, 2026 at 17:00

0.97%.

1.31%.

1.48%.

1.58%.