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Homework answers / question archive /  Suppose that the price of an asset at close of trading yesterdaywas $350 and its volatility was estimated as 1

 Suppose that the price of an asset at close of trading yesterdaywas $350 and its volatility was estimated as 1

Finance

 Suppose that the price of an asset at close of trading yesterdaywas $350 and its volatility was estimated as 1.4% per day. The price at the close of trading today is $347. Update the volatility estimate using
(a) The EWMA model with lamda (^) = 0.95,
(b) The GARCH (1,1) model with w = 0.000003, alpha (a)= 0.05, and beta (b) = 0,95

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