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

Equations of lines - three dimensional spaces, Equations of Lines In t...

Equations of Lines In this part we need to take a view at the equation of a line in R 3 .  As we saw in the earlier section the equation y = mx+b does not explain a line in R

Prove that the height of the center of the balloon, A round balloon of radi...

A round balloon of radius 'a' subtends an angle θ at the eye of the observer while the angle of elevation of its centre is Φ.Prove that the height of the center of the balloon is a

Standard deviation, i need to work out the standard deviation of 21.4

i need to work out the standard deviation of 21.4

Number sequence, what is the formula to find a sequence on a string of numb...

what is the formula to find a sequence on a string of numbers?

Define histogram, Q. Define histogram? Ans. A histogram is a bar g...

Q. Define histogram? Ans. A histogram is a bar graph that gives the frequency of each value. Here are a few examples to illustrate the usefulness of this method of data r

..compound intrest, tell me about the software of compound intrest?

tell me about the software of compound intrest?

Volume, a data set has a mean of 3, a median of 4, and a mode of 5.which nu...

a data set has a mean of 3, a median of 4, and a mode of 5.which number must be in the data set-3,4,5?

Trigomometrical, ABCD is a rhombus. the sides of the rhombus are 8cm long ....

ABCD is a rhombus. the sides of the rhombus are 8cm long .one of its diagonals is 12cm .find the angels of the rhombus

Simpson rule - approximating definite integrals, Simpson's Rule - Approxima...

Simpson's Rule - Approximating Definite Integrals This is the last method we're going to take a look at and in this case we will once again divide up the interval [a, b] int

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