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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.
Types of bias circuit for Class A amplifiers: There are five common types of biasing circuits used with Class A bipolar transistor amplifiers: A. Fixed bias B. Collector
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History of Transistor: The great Physicist Julius Edgar Lilienfeld filed the first patent for a transistor in Canada in the year 1925, explaining a device identical to a Field
1. A PCM system uses 8 bits per sample and the analog signal is limited to 4.3 kHz. The PCM data is transmitted using (a) BFSK and (b) ASK. Determine the bandwidth required for tra
Q. Consider the synchronous counter shown in Figure of the text. (a) Draw its timing diagram. (b) Show the implementation of the same synchronous counter using D flip-flops.
What is the similarities between a vacuum diode and a triode?
Critical Rate of Rise of Current The maximum rate of increase of current during on state which the SCR can tolerate is called the critical rate of rise of current f
What are program invisible registers? The global and local descriptor tables are determined in the memory system. So as to access and give the address of these tables, the prog
State the different stabilization techniques and compensation techniques
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