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

How to adding rational expressions with common denominators, Adding Rationa...

Adding Rational Expressions with Common Denominators To add or subtract fractions or rational expressions with common denominators, all you do is add or subtract the numerators

Can u please tell me how to solve, a triangle with side lengths in the rati...

a triangle with side lengths in the ratio 3:4:5 is inscribed in a circle of radius 3.what is the area of the triangle.

An example of build upon the child''s background, What are the other differ...

What are the other differences between learners that a teacher needs to keep in mind, while teaching?  Let us see an example in which a teacher took the pupil's background into acc

Vector calculus, If F ( x,y, z) = x y² y4 i + ( 2x2 y + z) j - y3 z² k, fin...

If F ( x,y, z) = x y² y4 i + ( 2x2 y + z) j - y3 z² k, find: i). question #Minimum 100 words accepted#

Describe adding and subtracting fractions in details, Describe Adding and S...

Describe Adding and Subtracting Fractions in details? To add or subtract fractions, here are some steps: 1. Find the lowest common denominator (LCD) or any common denominato

Factors, what are the factors af 34?

what are the factors af 34?

3-d coordinate system - three dimensional spaces, The 3-D Coordinate System...

The 3-D Coordinate System We will start the chapter off with a quite brief discussion introducing the 3-D coordinate system and the conventions that we will be utilizing.  We

Geometry homework, i just have one question i need help on for my geometry ...

i just have one question i need help on for my geometry homework

Differentiate hyperbolic functions, Differentiate following functions. (...

Differentiate following functions. (a)  f ( x ) = 2 x 5 cosh x (b) h (t ) = sinh t / t + 1 Solution (a) f ′ ( x ) = 10x 4 cosh x + 2x 5 sinh x (b) h′ (t ) = (t

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