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.
Q. Sketch a typical circuit for a 2-input, 4-output decoder.
i want circuit theory relavant assingment sir please immediately
Q. Draw the circuit of a common drain FET amplifier and explain. FET amplifier circuit The weak signal is applied between gate and source and amplified output is obtained
Q. With suitable diagram explains the working of a sweep frequency generator. Sol. A sweep frequency generator or sweeper is a special type of signal generator in which the o
Convolution : (i) Express this function in terms of kernel coefficients and convolve with image class.png, (x,y are coordinates of pixels) Io(x,y)=I(x+1,y)-2*I(x,y)+I(x-1,
Q. For a part of the network shown in Figure, given that i 1 = 4A; i 3 (t) = 5e -t , and i 4 (t) = 10 cos 2t, find v 1 , v 2 , v 3 , v 4 , i 2 , and i 5 .
Q What is Dual Tone Multi Frequency? Dual Tone Multi Frequency (DTMF) was first introduced in 1963 with 10 buttons in Western Electric 1500 -type telephones. DTMF was originall
write a short note on Scale
What is programmable interrupt controller? The Programmable interrupt controller is used when several I/O devices transfer datausing interrupt and they are connected to the sam
Which Segment is used to store interrupt and subroutine return address registers? Ans) Stack Segment in segment register is used to kept interrupt and subroutine return address
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