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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.
a 4 bit synchronous counter uses flip flops with propagation delay times of 15ns each. what will be the maximum possible time requires for change of state?
Collection and Payment Systems Payments are currently made in person in most of the places. Only some places payments could be made on line or by the ATM (Automated Teller Mac
Explain Stator of a Synchronous Machine? The stator of a synchronous machine is made of thin laminations of highly permeable (silicon) steel in order to reduce the core losses.
The ampere has been defined (by the International Committee of Weights and Measures in 1946) as the current flowing in two long parallel wires 1 metre apart that produces a force o
calculating different op amps
consider a single stage ce amplifier with rs=1kohm,r1=50ohm,r2=2kohm,rc=1kohm,rl=1.2kohm,hfe=50,hie=1.1kohm,hoe=25microamp/volt and hre=2.5*10-4
Q. Determine the bits required for a D/A converter to detect 1-V change when V ref = 15 V.
Semiconductor in Equilibrium Equilibrium in semiconductors implies the following: (i) Steady state: ∂Z / ∂t = 0 In which Z is any physical quantity like charge, volt
\ Transistor voltmeter (TVM) : a simple diagram of TVM using two transistors in the bridge configuration is as shown. TVM is provided by using transistor bridge circuits. In b
The Quality factor is also explained, as Q. So it is a number, which shows the lossness of a circuit. Higher the Q, the lower are the losses. The quality factor is calculated o
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