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10.12 The most recent estimate of the daily volatility of the dollar–sterling exchange rate is… 1 answer below » 10.12 The most recent estimate of the daily volatility of the dollar–sterling exchange rate is 0.6% and the exchange rate at 4:00 P.M yesterday was 1.5000. The parameter in the EWMA model is 0.9. Suppose that the exchange rate at 4:00 P.M today proves to be 1.4950. How would the estimate of the daily volatility be updated? 10.13 & View complete question » 10.12 The most recent estimate of the daily volatility of the dollar–sterling exchange rate is 0.6% and the exchange rate at 4:00 P.M yesterday was 1.5000. The parameter in the EWMA model is 0.9. Suppose that the exchange rate at 4:00 P.M today proves to be 1.4950. How would the estimate of the daily volatility be updated? 10.13 A company uses the GARCH(1,1) model for updating volatility. The three parameters are , and . Describe the impact of making a small increase in each of the parameters while keeping the others fixed. View less » Nov 16 2015 11:41 AM
