QUESTION 4 The exponentially smoothed volatility estimate EWMA 0; = 10-2 + (1 - 1)r?-1 is calculated with smoothing parameters lambda=.94. A. Is the process stable? What is the long run volatility forecast? B. Will volatility predictions be higher after negative returns than after similar positive returns? QUESTION 4 The exponentially smoothed volatility estimate EWMA 0; = 10-2 + (1 - 1)r?-1 is calculated with smoothing parameters lambda=.94. A. Is the process stable? What is the long run volatility forecast? B. Will volatility predictions be higher after negative returns than after similar positive returns
Answer & Explanation
Solved by verified expert
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
Unlimited Question Access with detailed Answers
Zin AI - 3 Million Words
10 Dall-E 3 Images
20 Plot Generations
Conversation with Dialogue Memory
No Ads, Ever!
Access to Our Best AI Platform: Zin AI - Your personal assistant for all your inquiries!
