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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.
what is 2 bit counter?
Q. J and K are the external inputs to the JKFF shown in Figure. Note that gates 1 and 2 are enabled only when the clock pulse is high. Consider the four cases of operation and expl
Explain priority interrupts of 8085. The 8085 microprocessor has five interrupt inputs. They are TRAP, RST .5, RST 6.5, RST 5.5, and INTR. These interrupts have a fixed prio
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what is the application of thermodynamics in electrical engineering?
Automatic Meter Reading and Remote Meter Reading Automatic Meter Reading (AMR) and Remote Meter Reading (RMR) elaborate several systems which permit meters to be checked with
Disadvantage - High level Languages a.Computational time is more as compared to machine languages. b.Requires more memory. c.Requires the knowledge of specific rules
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Serial Input output Ports For serial input and output there are two pins in 8085 microprocessor
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