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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.
What is tunnel effect? Discuss the Alpha decay as an example of tunnel effect. Prove that tunneling increases on decreasing the height and width of the barrier. Explain what do you
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?
I want to know basic electricity
When delivering rated load a 10-kW, 230-V self excited shunt generator has an armature-circuit voltage drop that is 6% of the terminal voltage and a shunt-field current equal to 4%
Q. Write a note on the application of emitter-follower? An emitter follower can serve as a buffer for a voltage source. The voltage divider at left is a poor voltage source bec
Types of High Voltage Distribution System A High Voltage Distribution System could be of the subsequent types: - Three phase Extension HT line from the primary substation a
Describe the nature of electricity
Charge density In a semiconductor
GIS APPLICATION IN THE POWER DISTRIBUTION ENVIRONMENT Previously, we have discussed the IT applications in the areas of Metering, Data Acquisition and Management, Asset Manage
A bandpass filter design can be accomplished through the cascade connection shown in Figure, where the frequencies between the two cutoffs fall in the passband of both filters and
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