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27. We assume a 2 of 0.850 under an exponential smoothing (i.e., EWMA) approach to...

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Accounting

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27. We assume a 2 of 0.850 under an exponential smoothing (i.e., EWMA) approach to the estimation of today's (t) daily volatility. Yesterday (t-1) is the most recent daily return in our series. What are the weights assigned, respectively, to yesterday's and the day before yesterday's returns; i.e., weight (t-1) and weight (t-2)? A. 15.00% and 2.25% B. 15.00% and 12.75% C. 72.25% and 61.41% D. 85.00% and 72.25%

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