【FRM每日一题】一级:定量分析
备考FRM一级 | 2015-10-12
The λ of an exponentially weighted moving average (EWMA) model is estimated to be 0.8. Daily standard deviation is estimated to be 2.5%, and today’s stock market return is 0.9%. What is the new estimate of the standard deviation?
A.1.98%.
B.2.18%.
C.2.27%.
D.2.74%.
相关标签 FRM一级