Exponentially weighted moving average, Electrical Engineering

Assignment Help:

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

2057_sigma1.png

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.


Related Discussions:- Exponentially weighted moving average

500Mhz Collpitts Oscillator, How to design an Oscillator Circuit (500 MHz r...

How to design an Oscillator Circuit (500 MHz range) with no Op amps?

Intrinsic semiconductor, Draw a graph illustrating how resistivity varies w...

Draw a graph illustrating how resistivity varies with temperature for an intrinsic semiconductor. b) Gallium nitride, GaN, has an energy gap of 3.36 eV at 300 K. Calculate the w

Case 1 b>a - program description , Case 1 (B>A) Suppose XX = 01H ( s...

Case 1 (B>A) Suppose XX = 01H ( stored in a) and YY = 03H (stored  in B).then carry flag  will set by  CMP  instruction since B>A  in this case JNC  will not  transfer the e

What do you mean by bezier curve, What do you mean by Bezier curve? Shown B...

What do you mean by Bezier curve? Shown B0 (1,1), B1 (2,3), B2 (4,3), B3 (3,1) the vertices of Bezier polygon, calculate seven points on Bezier curve. Write in brief the differe

Digital electronics, Design a recycling MOD 19 up counter using JK FFs. In ...

Design a recycling MOD 19 up counter using JK FFs. In your design, include the logic circuit diagram and the timing diagram output that counts from 000002 = 010 to 100112 = 1910. C

Distribution transformer connection, why the primary bushing of 7970/13.8 d...

why the primary bushing of 7970/13.8 distribution transformer blown up when connected wye on a 13.8 kv source?

RLC, a 49pf cap,a 50 uH inductor, and a 100 ohms resister are in parallel: ...

a 49pf cap,a 50 uH inductor, and a 100 ohms resister are in parallel: what is the resonance freq? And what is the complex impedance vector at 100MHZ?

Explain working of digital process control, Q. Explain working of Digital P...

Q. Explain working of Digital Process Control? Figure shows a block diagram for microcomputer-based control of a physical process, such as a chemical plant. A slight variation

Explain what happen as the frequency increases, Question: (a) A typica...

Question: (a) A typical RF filter is made up of sections using circuit components. One example of a section is the Inductor-Capacitor (L-C) section. State two other types of

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd