Explain the exponentially weighted moving average model

Assignment Help Portfolio Management

Reference no: EM131239613

1. Explain the exponentially weighted moving average (EWMA) model for estimating volatility from historical data.

2. What is the difference between the exponentially weighted moving average model and the GARCH(1,1) model for updating volatilities?

Reference no: EM131239613

Questions Cloud

Maintenance for certain type of machine : A manufacturing company is planning to set aside $75,000 now and $120,000 one year from now for possible maintenance for a certain type of machine. If the maintenance won't be needed for 4 years, how much will the company have in the account, if it e..

Identify the stakeholders and their roles : Using the above scenario, develop a project charter. Include the problem statement, justification for the project, and how the project will be measured for success.

Calculate quantity demanded when its price : If we assume the price of the related good is held fixed at $10 and that income is held fixed at $40,000, calculate quantity demanded when its price is $2. Round your answer to the nearest whole number as needed; carefully follow all other numeric..

Discuss the foreign exchange market in terms : Research and discuss the foreign exchange market in terms of both the value of the currency over time and any regulations affecting the currency for China in 2016. Please provides References and any graphs or visualizations available.

Explain the exponentially weighted moving average model : What is the difference between the exponentially weighted moving average model and the GARCH(1,1) model for updating volatilities?

Policy adviser responsible for air pollution in region : You are a policy adviser responsible for air pollution in a region where there are only two chemical plants run by firm A and firm B. Firm A’s pollution abatement costs are 2x^3 , where x is a unit of pollution. Suppose your boss, an elected politici..

Extensive resources towards improving the education : Suppose that a developing country devotes extensive resources towards improving the education and skill level of the labor force. How might this help the country avoid a coordination failure?

Southwest airlines and united airlines : Suppose two firms, Southwest Airlines and United Airlines, are competing in the commercial airline market in which downstream buyer preferences are identical.

Analyze the impact of the internet and web applications : Explain the major effects that the advancement of technology has provided to businesses in relation to opportunities for more efficiency, collaboration, and distributed resources. Note: Be sure to include how the security landscape has changed.

User Account

All Pages