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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.
Information Processing: Information processing is the key to improving cutting and productivity costs of excess work. Converting information to a computerized format in GIS i
an 8 bit successive approximation adc has a resolution of 20mv. what will be its ouput analogue input of 2.17v
a. Discuss the benefits and limitations of utilizing wind energy for electricity generation. b. Draw the block diagram representation of a thermal power generation unit. Illustr
Q Find the diameter of a circular waveguide that will have a lower cutoff frequency of 10 GHz and also specify its largest usable frequency.
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why the primary bushing of 7970/13.8 distribution transformer blown up when connected wye on a 13.8 kv source?
1. Describe the magnetic effects of current? ( to achieve a pass grade, describe the magnetic effect of current) 2. Complete the diagram to show the direction of mo
L=0.0053nH, C=15µF find the operating frequency of series LC circuit. What factors decides capacitance ..
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Covert Analog Signal into Digital Signal A strain gauge is used in Wheatstone Bridge configuration. The output from the Wheatstone Bridge varies from zero to a maximum strain
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