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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.
The per-phase synchronous reactance of a three-phase, wye-connected, 2.5-MVA, 6.6-kV, 60-Hz turboalternator is 10 . Neglect the armature resistance and saturation. Calculate the v
when strain gauge design give accurate measurement on zero and maximum 999kg but not 500kg
DC Motor Starting When voltage is applied to the armature of a dcmotorwith the rotor stationary, no emf is generated and the armature current is limited only by the internal ar
Discuss Stepper motor interfaced to the 82C55. A stepper motor rotates into steps in response to digital pulse input. There shaft of the motor rotates in equivalent increments
plz give ans about signs of capicitor, and give detail about clampers.
What do you maent by Debugger? Debugger: This is a program that allows user to debug and test programs. All computers with microprocessor kits give debugging facility. To not
1. Pattern recognition A synchronous sequential machine is to generate 1 on output z after the next clock pulse whenever the bit sequence on input x has exactly two 0’s in the last
winding turns of 415v step down transformer on 50%, 60% & 80% tapping
Q. What is Miller integrator ? MILLER INTEGRATOR : Consider a basic RC circuit in which the opening of switch provides a sweep voltage.Yhe waveform generated by this basic circ
Q. Determine the armature current and torque angle? A 1500-hp, 6600-V, six-pole, 60-Hz, three-phase, wye-connected, synchronous motor, with a synchronous reactance of 36 , neg
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