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Part I
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Quantitative Analysis
Quantitative Analysis
Medium
A risk analyst at Harborview Capital estimates daily volatility using EWMA with lambda = 0.94. Yesterday's estimated daily variance was 0.000256 and yesterday's return was -3.1%. Today's EWMA volatility estimate is closest to:
A
1.82%
B
1.60%
C
1.93%
D
3.10%
Select an answer to continue
Tags
#ewma
#volatility-estimation
#lambda
#riskmetrics
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