| |
Hull 19.3 |
|
|
|
| |
|
|
|
|
| |
|
Log |
Simple |
|
| |
|
Return |
Return |
|
| |
beta (b) or lambda |
0.940 |
0.940 |
|
| |
1-lambda |
0.060 |
0.060 |
|
| |
sum of weights |
1.0000 |
1.0000 |
|
| |
|
|
|
|
| |
Updated Volatility Estimate |
|
| |
Assumptions |
|
|
|
| |
Last Volatility |
1.50% |
1.50% |
|
| |
Last Variance |
0 |
0 |
|
| |
Yesterday's price |
30.00 |
30.00 |
|
| |
Today's price |
30.50 |
30.50 |
|
| |
Last Return |
1.65% |
1.67% |
|
| |
EWMA |
|
|
|
| |
Updated Variance |
0.0002279 |
0.0002282 |
|
| |
Updated Volatility |
1.5096% |
1.5105% |
|
| |
|
|
|
|
|