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

Working principle of an electronic voltmeter, Q.   Explain the working prin...

Q.   Explain the working principle of an electronic voltmeter. Sol. Electronic voltmeter Basic Voltmeter: The addition of a series resistor, or multiplier, converts the

What is expanded memory system, What is expanded memory system? EMS: Th...

What is expanded memory system? EMS: The area at location C8000H-DFFFFFH is frequently open or free. Such area is used for the expanded memory system into a XT or PC system, or

Resultant air-gap flux of induction machine, Q. Resultant air-gap flux of i...

Q. Resultant air-gap flux of induction machine? The resultant air-gap flux is produced by the combined mmfs of the stator and rotor currents. For the sake of conceptual and ana

Vhdl, how to construct universal shift register using D-flipflop and mux??

how to construct universal shift register using D-flipflop and mux??

Hexadecimal to binary conversion , Hexadecimal  to Binary Conversion ...

Hexadecimal  to Binary Conversion Conversion from  hexadecimal  to binary  is the  reverse  of this  process. Express each  hexadecimal  digit  in four bit  binary  equivalent

Describe operation performed by instruction OUT47 h, Describe the operation...

Describe the operation performed by the instruction OUT 47 h, AL. This transfers the content of AL to I/O port 47h. See that I/O port number shows as 0047h on the 16 bit addres

Lissajous patterns and their use, Consider the characteristics of patterns ...

Consider the characteristics of patterns that appear on the screen of a CRT, when sinusoidal voltages are simultaneously applied to horizontal and vertical plates. These patterns a

Multiplexed address data bus - pins and signals , Multiplexed Address/ Data...

Multiplexed Address/ Data Bus Pins AD 7 - AD) are used for multiplexed address data bus. This bus is bidirectional  input output  and  serves two  purpose. Initially the bus

Find temperature coefficient of resistance in semiconductors, Semi-conducto...

Semi-conductors have temperature coefficient of resistance.  (A) Negative                                    (B) Positive (C) Both positive and negative        (D) none o

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