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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.
State the significance of LOCK signal in 8086? If 8086 is working at maximum mode, there are multiprocessors are there. If the system bus is given to a processor then the LOCK
Consider the optical cavity shown below. (a) Compute the photon lifetime. (b) Compute the cavity Q (assume that the wavelength region of interest is 500nm). (c) Su
For zero flag RZ ( Return on Zero) and RNZ ( Return on no zero) Instructions RZ returns from the subroutine to the calling program, if zero flag is set (Z= 1). The
what is
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Hai.. i have been given a open loop transfer function to draw a bode plot with a particular K value and they asked me to find the value of K for which the phase margin becomes 45d
Operation of Zener Diode The Zener diode's operation depends upon the heavy doping of its p-n junction permitting electrons to tunnel from the valence band of the p-type mater
Q. We have discussed three different color spaces: RGB, HSI and CMY(K). Specify the need for multiple color spaces. Why can we not use only one? Q. A telescope in an observatory
A system contains an amplifier with a gain of 10 offering the armature voltage for a motor which provides an output speed which is proportional to the armature voltage, the constan
Q. A magnetic circuit is found to have an ac hysteresis loss of 10 W when the peak current is Im = 2 A. Assuming the exponent of Bm to be 1.5, estimate Ph for Im = 0.5A and 8A.
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