The price percent changes of stock X and Y were 5.0% and 1.0%, respectively. The correlation estimate based on the historical data of the two on day n-1 is 0.6, the estimated standard deviations of price of X and Y on day n-1 were 2.3% and 1.7%, respectively. Suppose the analyst uses the EWMA model with λ = 0.97 to update the correlation and covariance. What is the new estimate of the correlation between X and Y on day n?
为什么估计day n的协方差covn = 0.97 * 0.000235 + 0.03 * 5% * 1% = 0.00024295
