Exponentially weighted moving average, Electrical Engineering

Assignment Help:

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

2057_sigma1.png

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.


Related Discussions:- Exponentially weighted moving average

D flip flop - introduction to microprocessors, D Flip Flop As we have ...

D Flip Flop As we have seen  in the SR flip flop  when the inputs  S= R  are applied the forbidden or indeterminate state occurs.  This state can destabilize the SR file flop.

Circuite theory, In real life, transformers have losses which cause their b...

In real life, transformers have losses which cause their behaviour to deviate from the ideal. Explain the reasons for this non-ideal behaviour

Diodes, How does a diode work! what is its main formulas?

How does a diode work! what is its main formulas?

Branch operations , Branch Operations Normally  the program  executes ...

Branch Operations Normally  the program  executes in  a sequence. The contents of the program counter register are incremented by  one during  the execution  of current  instr

Active filter design, Design a wide band pass filter with cut-off frequency...

Design a wide band pass filter with cut-off frequency f L = 400 kHz, f H = 600 kHz, and a pass-band gain = 10. The roll-off rate at the cut-off frequency should be at least 4

Evaluate the four parameters of the hybrid model, Q. Show that any amplifie...

Q. Show that any amplifier represented by the model of Figure of the text can also be represented by themore general hybridmodel of Figure. Evaluate the four parameters of the hybr

Generation and control of electron beam, Illustration the basic working pri...

Illustration the basic working principle, process parameters, economics, safety precautions and applications of plasma Arc Machining process(PAM) Discuss Electron Beam Machining

Components of gis, Components of GIS: 1.  Software: GIS software gi...

Components of GIS: 1.  Software: GIS software gives the functions and tools required to store, analyze, and show geographical information. The key software elements are:

What is meant by a bus, A bus is a collection of conducting lines that carr...

A bus is a collection of conducting lines that carrier's data, address, & control signals. A bus is two or many wire communication technique. A bus which communicate among two

Identify a variety of security threats, Each year the University computer s...

Each year the University computer society holds a „virtual fair? in Second Life in order to raise money for charity. The main attraction at the event is a lucky dip, where attendee

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd