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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.
Interfaced 2k X 8 (i.e 2716) EPROM using multiple input NAND gate decoder for memory locations FF800H-FFFFFH. Simple NAND gate Decoder: While the 2k x 8 EPROM is used so addre
Cross Section of NMOS with Channel Formed: ON state A metal-oxide-semiconductor field-effect transistor (MOSFET) is based upon the modulation of charge concentration through a
how over compensation by capacitive var rises voltage in a circuit?
Q. Discuss the disadvantages of an RC coupled amplifier? RC coupled amplifiers have a few disadvantages. The resistors use dc power and so the amplifier has low efficiency. The
With the help of energy bands explain how conduction takes place in insulators. Insulators: Substance as wood, glass, that do not permit the passage of current through them
Q. A 230-Vdc shuntmotor delivers 30 hp at the shaft at 1120 r/min. If the motor has an efficiency of 87% at this load, find: (a) The total input power. (b) The line current.
Q. For the circuit shown in Figure, find the phasor values (with peak magnitudes) of ¯I, ¯V R , ¯V L , and ¯V C by using PSpice.
You are required to implement below shift system in MATLAB, t0 is the amount of shift towards left or right. y(t)= x(t-t0) Implement MATLAB code, where shift should be taken as
1. For the flyback converter operating in the discontinuous "current" (flux) mode, derive an expression for the time at which the magnetizing current returns to zero. 2. A forwa
Explain Polarization. Polarization: A dielectric has molecules the atomic nuclei of that are effectively fixed, related to each other. In absence of any external field all the
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