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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.
Compute the efficiency of the transformer of Example corresponding to (a) full load, 0.8 power factor lagging, and (b) one-half load, 0.6 power factor lagging, given that the input
emitter followers regulator
A dc machine, operating as a generator, develops 400 V at its armature terminals, corresponding to a field current of 4 A, when the rotor is driven at 1200 r/min and the armature c
Q. What is Message Demodulation? The major advantage of the conventional (standard) DSB AMsignal transmission is the ease with which the signal can be demodulated. Themessage s
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
(a) What do you understand by Detroit-type automation? (b) What are the situations under which the above kind of automation can be planned ?
Q. Give suitable block diagram to explain the working of electronic multimeter. Sol. An electronic multimeter is a laboratory instrument which is capable of measurement of
Find out which of the two motors: Two three-phase induction motors while connected across a 400 V, 50 Hz supply are running at 1440 and 940 RPM respectively. Find out which of
Let me know if you can help during the test
Q. Explain common base configuration? Common-base transistor amplifiers are so-called because the input and output voltage points share the base lead of the transistor in commo
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