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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.
key performance indicators
Q. What is Barkhausen criterion? Why is the value of Ab kept slightly greater than 1? The condition |Ab| = 1 is called the Barkhausen criterion. It implies that when |Ab| = 1,
Define the Signals in Time Domain? The time domain is the type of visualization that most people are familiar with. This method shows variations of a signal with time. The most
use of ranging and attenuator circuit
By means of nodal analysis, find the current delivered by the 10-V source and the voltage across the 10- resistance in the circuit shown in figure.
Use the offset diode model with a threshold voltage of 0.6 V to determine the value of v 1 for which the diode D will first conduct in the circuit of Figure(a).
Q. Show the Process for taking observations by satellite? Sensors are devices to make observations, which have sophisticated mechanism for taking observations. The detectors ar
Voltage, current, and charge control: The collector-emitter current can be seen as being controlled through the base-emitter current (current control), or through the base-emi
Q. What do you mean by Binary Multiplication? The Rules of Binary Multiplication 0 x 0 = 0 0 x 1 = 0 1 x 0 = 0 1 x 1 = 1 , and no carry or borrow
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