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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.
Calculations of sending line voltage
Control Strategies Equation shows that output voltage V0 can be controlled through α and this duty cycle α can be varied by various strategies which are as follows.
what is Zener diode ? give some uses of it .
Explain the term- Electronic Mail (email) Another form of communication is through email. This has the below advantages over video conferencing: - There are no language pro
Question: (a) A tube from one end of a differential pressure transducer is placed at the bottom of a cylindrical cup (D= 0.8m, H= 0.1m) to measure mass flow rate. The cup i
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i have selected this paper as my semester project according to teacher we have to fully implement it. i need its full written matlab code simulink model and results. can you help m
Thermal considerations: At continuous current, the voltage across the emitter-base junction V BE of a bipolar transistor get decreases 2 mV (silicon) and 1.8mV (germanium) fo
Balanced Wye-Connected Load Let us consider a three-phase, four-wire 208-V supply system connected to a balanced wye connected load with an impedance of 10 20° , as shown in F
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