The parameter lambda in the ewma model is 09 suppose that, Financial Management

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The parameter lambda in the ewma model is 09 suppose that

The most recent estimate of the daily volatility of the US dollar/sterling exchange rate is 0.6% and the exchange rate at 4 p.m. yesterday was 1.5000. The parameter λ in the EWMA model is 0.9. Suppose that the exchange rate at 4 p.m. today proves to be 1.4950. How would the estimate of the daily volatility be updated?

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Financial Management: The parameter lambda in the ewma model is 09 suppose that

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Financial Management: The parameter lambda in the ewma model is 09 suppose that

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