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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.
Q. A current of 65 A is measured with an analog ammeter having a probable error of ± 0.5% of full scale of 100 A. Find the maximum probable percentage error in the measurement.
GIS database: In a nutshell, we could say that the GIS technology integrates general database operations (data query and statistical analysis), along with the unique a
CONCLUSION IN BRIEF OF SUPERPOSITION IN ASSIGNMENT
Conditional Call Instruction Similar to conditional jump instructions there are conditional call instructions also based on various flags.
Show that the infiltration volume estimated using Horton's infiltration equation between times t1 and t2 is given by; F =f c (t 2 -t 1 )+(f 1 -f c )(1-e -k(t2-t1) )/k Use the
What is TXD? TXD- Transmitter Data Output This output pin carries serial stream of the transmitted data bits by with other information like start bit, stop bits and priority
charactersticks of pn junction
Q. Demonstrate how finite state machine model helps in designing a switching system and give a typical illustration. Ans: Switching systemessentially belongs to class of fi
Determine i L (t) and v C (t) for t> 0 in the circuit given in Figure.
Question: (a) The forward path transfer function of a unity feedback control system is given by: (i) Draw the labelled block diagram representation of the control system.
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