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.
Hi, I need help with this assignment. Is this assignment something you can help me with?
We can use Ampere's Law to calculate the magnetic field in the core.
Explain the principle of a thermocouple. Give two examples of some common thermocouples. Thermocouples : They are used for the measurement of temperature. While two wires of v
Q. Explain Continuous-data and discrete-data systems? A continuous-data system is one in which the signals at various parts of the systemare all functions of the continuous-tim
State and explain three factors upon which the induced electromotive force depends
Octal to binary Conversion Conversion form octal to binary is the reverse of this process. Express each octal digit in three bit binary equivalent. Ex. Convert 3576
Amperes Circuital Law The observation that magnetic field strength varied with distance from the wire led to the following statement: 'If the magnetic field
Design and draw a circuit using the cascade system to operate two cylinders (A and B) which, on the operation of a start valve, produces the sequence A - B + B - A+. The cylinder
A zener regulator consumes a zener diode with an internal zener resistance of 5 ohm and the value of resistance in the regulator circuit is 82 ohm. If the supply voltage alters by
A 3-phase transmission line is 200km long. The line has a per phase series impedance of 0.25+j0.45 Φ/km and shunt admittance of j7.2ΦS/km. The line delivers 250MVA, at 0.6 lagging
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: +1-415-670-9521
Phone: +1-415-670-9521
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd