Exponentially weighted moving average, Electrical Engineering

Assignment Help:

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

2057_sigma1.png

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.


Related Discussions:- Exponentially weighted moving average

What do you mean by assembly procedures in fem, a) What do you mean by asse...

a) What do you mean by assembly procedures in FEM, discuss by taking suitable example of your choice. b) Write the potential energy equation for particular FE analysis of a prob

MIMO, MIMO downlink mode uses

MIMO downlink mode uses

Schmitt triggering, schmitt triggering with emitter coupled transister

schmitt triggering with emitter coupled transister

Detrmine when the current flowing in the conductor, A conductor 300 mm long...

A conductor 300 mm long moves at a uniform speed of 4 m/s at right-angles to a uniform magnetic field of flux density 1.25 T. Verify the current flowing in the conductor when  (

Explain about simplex communication, Q. Explain about Simplex communication...

Q. Explain about Simplex communication? Simplex communication: Microphone and the earphone are transducer elements of the telephone communication system. Microphone converts

Factors affecting choice of observation, Factors Affecting Choice of Obser...

Factors Affecting Choice of Observation: Observers are influenced by a number of factors in the process of observation. Black and champion have identified three such factors.

Switching, With neat diagrams explain the configuration of a step-by-step s...

With neat diagrams explain the configuration of a step-by-step switching system

Evaluate the available received power, (a) Some antennas have a physical ap...

(a) Some antennas have a physical aperture area A that can be identified and is related to the effective area A e by A e = ρ a A, where ρ a is known as the aperture efficiency.

Use thevenin''s theorem find the current flow by resistor, Use Thevenin's T...

Use Thevenin's Theorem, find the current flow by resistor R=10Ω.

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

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!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd