The most recent estimate of the daily volatility of the dollarpound exchange

# The most recent estimate of the daily volatility of

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Question 7 The most recent estimate of the daily volatility of the dollar–pound exchange rate is 0.6% and theexchange rate at 4:00 pm yesterday was 1.5000. The parameter in the EWMA model is 0.9. Suppose that the exchange rate at 4:00 pm today proves to be 1.4950. How is the estimate of the daily volatility updated? Answers:In this case, 12=(0.6%)2=0.36 %2and u12=(1.4951.51.5×100%)2=(−0.333%)2=0.111%2Equation (4)with = 0.9 givesn2=0.9×0.36%2+0.1×0.111 %2=0.335%2Thus, the daily volatility estimate in day n(for tomorrow) is n=0.335%2=0.58% n n Question 8The number of visitors to websites follows the power law with = 2. Suppose that 1% of sites get500 or more visitors per day.What percentage of sites get at least 1000 or 2000 visitors per day? 4
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