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【FRM每日一题】一级:定量分析

【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%.

Answer: C

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