EWMA model

FRM
#1

Using a daily Risk metrics EWMA model with a decay factor Lamda = 0.95 to develop a forecast of the conditional variance, which weight will be applied to the return that is 4 days old?

a) 0

b) 0.043

c) 0.048

d) 0.950

#2

Weight will be (1-lambda)*lambda^3

i.e. .0.05 *(.95^3) = 0.042869 ~ 0.043

#3

Thanks Javed