What is the estimated annualised volatility of the GBP/USD exchange rate, based on the following daily data, assuming the usual lognormal probability distribution for relative price changes and 252 days in a year?
|
Day 1 |
1.6320 |
|
Day 2 |
1.6410 |
|
Day 3 |
1.6350 |
|
Day 4 |
1.6390 |
|
Day 5 |
1.6280 |
|
Day 6 |
1.6300 |
|
Day 7 |
1.6250 |
|
Day 8 |
1.6200 |
|
Day 9 |
1.6280 |
|
Day 10 |
1.6200 |