FRM Part I · FRM Exam Part I · Measuring and Monitoring Volatility
A 20-day equally weighted estimate of daily volatility is 1.2%. A 10-day equally weighted estimate of the same series is 2.0%. Zero mean is assumed. What is the average squared return (in %²) over days 11 through 20 of the window?
Placeholder
- A0.88Correct
- B1.60
- C1.76
- D2.72
Explanation
20-day sum of squares = 20 x 1.44 = 28.8. 10-day sum = 10 x 4 = 40. That makes the 10-day sum exceed the 20-day sum, which is impossible, so the data would contradict; thus check: the stated question treats 1.2% as the 20-day figure...
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