Already have an account? Get multiple benefits of using own account!
Login in your account..!
Remember me
Don't have an account? Create your account in less than a minutes,
Forgot password? how can I recover my password now!
Enter right registered email to receive password!
1. The Excel file contains daily closes for the S&P/TSX composite index from January 2, 2008 to December 31, 2010. Assuming that December 31, 2010 is the current day. A) Using the Exponentially Weighted Moving Average (EWMA) method to forecast tomorrow's volatility (standard deviation). Do it for two cases: λ=0.95 and λ=0.995. Compare the forecast with the sample volatility. Discuss. (Assuming 252 days in a year.) Hint: the forecast and the weights are
B) Using the maximum likelihood method (as we did in class) to estimate GARCH(1, 1) model. In other words, estimate ω, α and β. Report the maximum likelihood value. Also calculate the log-run volatility (both daily and annualized). C) Repeat B) using the variance targeting method. Here please set the annual target variance at such a level so that the annual volatility is 16.5%. (Note: the usual method based on the sample variance won't converge since the recent variance in the sample is too low.) D) Using the parameter estimates from B), forecast the future daily variance for the next 200 days. Report forecasts only for the first 20 days and days 50, 100, 150 and 200. E) Calculate the average daily variance for the next 200 days using the parameter estimates from B). Report the average variance only for the first 20 days and days 50, 100, 150 and 200. Plot the daily forecast and the average in one chart for the entire 200 days. Discuss. Note: for accuracy, when doing parts B), C), D) and E), please copy cell and paste values for the GARCH parameters. In other words, keep all the decimal places for the parameters.
1. Derive the necessary formula/method to determine the effective value or RMS of a triangular wave. Use either a similar method to the class example of the RMS determination
what are measuring devices?
A case study is required for development of different digital versions of band-pass filter corresponding to its analogue prototype described by the following normalised transfer fu
Question The diagrams below depict a modulation (left) and a demodulation(right). (a) Express y(t), u(t) and z (t). (b) What may happen to the demodulated signal y
With the help of schematic diagram illustrate Gas Power Plant. Describe the effect of reheating, regeneration and inter cooling with the help of suitable T-S diagrams. Give the
Question: a). Draw the energy diagram of a pn junction: (i) at thermal equilibrium, (ii) when a forward bias with magnitude half the built in potential (V = φk/2) is applie
The goal of this project is to model a system and to design a controller for the system so that the closed-loop system performs satisfactorily.
Literature Review - Software Defined Radio In this section, first two methods to estimate signal to noise ratio (SNR) are reviewed and a few methods for modulation classificati
Switching characteristics during turn on A positive gate pulse between gate and cathodeis sufficient to turn on a thyrisotr. In this period thyristor changes its stat
Explain mechanisms of propagation of radio communication. Radio communication deals with electronic radiation of electromagnetic energy from one point to another through atmosp
Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!
whatsapp: +91-977-207-8620
Phone: +91-977-207-8620
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd