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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. Sketch g m versus v GS for a JFET with I DSS = 10 mA, V P = 3V, V A = 100 V, and v DS = 10 V. See what happens if V A →∞. Also sketch r o versus v GS .
equilizing connection
Compute the mutual inductance: A long single layer solenoid has an effective diameter of 10 cm and it is wound with 1000 turns/m. There is a small concentrated coil with its p
Q. Show the Subtraction Method? For this procedure (method), start with a weighted position value greater that the number. If the number is greater than the weighted position f
Q. Explain output CE characteristics? 1. In the active region ic increases slowly as Vce increases. The slope of the curved is greater than the CB output characteristics. In co
Q. An inverting amplifier is designed with three inputs, v 1 , v 2 , and v 3 , as shown in Figure. Determine the output voltage. Then indicate how the circuit may be modified to pe
Q. Determine the time delay of the cable? An RG-213/U (radio guide 213/universal coaxial cable) is a small-sized, flexible, double-braided cable with silvered-copper conductors
May I know if your site can help me with design a snubber and model the circuit using LTSpice software?
Properties of a semiconductor: What properties of a semiconductor are determined from a Hall effect experiment ? Sol. The Hall Effect experiment is used to determine th
What''s hysteresis ?
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