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Hull 19.9 |
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Asset A |
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Asset A |
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Daily Volatility |
1.60% |
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New EWMA Variance Est |
0 |
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Yesterday's Close |
$20.00 |
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New EWMA Volatility Est |
1.66% |
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Today's Close |
$20.50 |
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Simple return |
2.50% |
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Asset B |
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Asset A |
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Daily Volatility |
2.50% |
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New EWMA Variance Est |
0 |
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Yesterday's Close |
$40.00 |
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New EWMA Volatility Est |
2.45% |
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Today's Close |
$40.50 |
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Simple return |
1.25% |
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Correlation |
0.25 |
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New Correlation Est |
0.27226 |
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Lambda param |
0.95 |
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Covariance |
0.00010 |
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New Covar Est |
0.0001106 |
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