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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. For the NOR and inverter realizations shown in Figure, find the truth table, the type of gate realized, and the expression for the logic output, in each case.
hi there, i have to write a program for seven segments counter with three buttons to make it counting up and down from 00 to 99 so i''m looking for someone can write it..........th
Q. What is Traffic Intensity? Traffic Intensity: Traffic load on a given network may be on local switching unit, interoffice trunk lines or other common subsystem. For analyti
Thermal noise This is the most significant noise in an ampli?er. It is produced by random movements of electrons in the resistors. This is caused by the ?uctuations in the volt
(a) contains a freewheeling diode Dm, commonly connected across an inductive load to provide a path for the current in the inductive load when the switch S is opened after time t (
Q A12-V, 115-Ah automobile storage battery is used to light a 6-W bulb. Assuming the battery to be a constant-voltage source, find how long the bulb can be lighted before the batte
Magnetic circuits To see how this is used in practice, consider a coil of N turns wound onto a closed ring shaped former with a very high (note: r (steel) = 200
Discuss the feature of Pentium in brief. The Pentium is a 32-bit superscalar, CISC microprocessor. The word superscalar is used for the processor that has more than one pipeli
Q. What do you mean by Phase Sequence? It is standard practice in the United States to designate the phase A-B-C such that under balanced conditions the voltage and current in
what is difference between scot and delta connection.
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