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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.
Memory to Register This instruction is used to copy the contents of a memory locations whose address is specified by the HL register pair to any register. Before using th
Q. A 10-kVA transformer is known to have an iron loss of 150 W and a full-load copper loss of 250 W. If the transformer has the following load cycle, compute its all-day efficiency
What is the function of mode set register in 8257? The mode set register is used for programming the 8257 as per the needs of the system. The function of the mode set register
p type material: p type material is formed by doping aerial crystal with impurity atoms having three valance electrons. The diffused impurities with three valence electrons
Q. Ac measurements with constant voltage amplitude reveal that the total core loss of a certain magnetic circuit is 10 W at f = 50 Hz, and 13 Wat f = 60 Hz. Find the total core los
Q. Consider a 240-V supply feeding a resistive load of 10 kW through wires having a total resistance of R = 0.02 . For the same load, let a 120-V supply be used with a total wire
Bus Organisation Set of communication lines in microprocessor which carry bits from microprocessor to peripherals ( memory inputs ports output ports and other chips
Q. Describe about Reduction Clause? Reduction clause specifies an operator as well as one or more list items. For every list item a private copy is created on every thread and
DC chopper This is one stage conversion device which is used for direct conversion of fixed de voltage at a level to an adjustable dc voltage at another level.
Out of a long-term record of precipitation for four adjacent stations you find that records of one station (station D) are missing for the spring months, September, October, and No
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