Yield volatility and graph, Mathematics

Assignment Help:

This question has two related parts, (a) and (b).

(a) Use the daily yields in the table below to compute a daily standard deviation of yields. Next annualize the daily standard deviation just calculated first using 365 calendar days, then using 250 trading days in a year. Finally, construct a 4 -day moving average equal weight volatility forecast for each day in the period from Day 5 to Day 24, assuming that the expected value of the daily change in yield is zero. Please show your calculations, including formulas used. Please note: for this question 1) if you use Excel please attach your Excel worksheet to your assignment and 2) keep at least 6 decimal places in both your calculations and your final answers.

(b) Plot in the same graph for each day between Day 5 and Day 24 (inclusive) the computed daily standard deviation of yields and volatility forecast obtained in part (a) above. Please briefly comment on the volatility forecasting method in light of the graph. 

 

 


Related Discussions:- Yield volatility and graph

Which of the following binomials could represent the length, The area of Mr...

The area of Mr. Smith's rectangular classroom is x 2 - 25. Which of the following binomials could represent the length and the width of the room? Since area of a rectangle is

Fractions, what is 1/3 + 2/9 equal

what is 1/3 + 2/9 equal

3, LAST COST METHOD

LAST COST METHOD

Lisa was assigned 64 pages how many more pages must she read, Lisa was assi...

Lisa was assigned 64 pages to read for English class. She has ?nished of the assignment. How many more pages must she read? If Lisa has read 3/4 of the assignment, she has 1/4

Area and surface Are, I cant figure out how to study for my math test

I cant figure out how to study for my math test

first and third quartiles, From the data given below calculate the value o...

From the data given below calculate the value of first and third quartiles, second and ninth deciles and forty-fifth and fifty-seventh percentiles.

Solve 6 sin ( x/2)= 1 on [-20, Solve 6 sin ( x/2)= 1 on [-20,30] Soluti...

Solve 6 sin ( x/2)= 1 on [-20,30] Solution Let's first work out calculator of the way since that isn't where the difference comes into play. sin( x/2)= 1/6   ⇒x/2= sin

Activities to develop ability to classify, Let us now look at some activiti...

Let us now look at some activities that can be organised with preschoolers to develop their ability to classify. 1. You could start by giving children different materials to pla

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