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

Find the 20th term of arithmetic progressions, Find the 20 th term from th...

Find the 20 th term from the end of the AP 3, 8, 13........253. Ans:    3, 8, 13 .............. 253 Last term = 253 a20 from end = l - (n-1)d 253 - ( 20-1) 5 253

Evalute right-hand limit, Evaluate following limits. Solution ...

Evaluate following limits. Solution Let's begin with the right-hand limit.  For this limit we have, x > 4  ⇒          4 - x 3   = 0      also, 4 - x → 0  as x → 4

Produt promotion, What is the structure of produt promotion?

What is the structure of produt promotion?

I need help in math badly, I just have a hard time in math in every other c...

I just have a hard time in math in every other class I have an A or B but in math I have a C+ I at least want a B- or B+ or A- or even an A+

Solution of triangles, In triangle ABC, if sinA/csinB+sinB/c+sinC/b=c/ab+b...

In triangle ABC, if sinA/csinB+sinB/c+sinC/b=c/ab+b/ac+a/bc then find the value of angle A.

Geometry, #question.prove that the diagonals of a trapezium divide each oth...

#question.prove that the diagonals of a trapezium divide each other proportionally .

Transportation problems vogel approximation method, if there is a tie betwe...

if there is a tie between two penalties then how to make allocations?

Find the height of the tower, The angle of elevation of the top of a tower ...

The angle of elevation of the top of a tower standing on a horizontal plane from a point A is α .After walking a distance d towards the foot of the tower the angle of elevation is

Quantitative, A lobster catcher spends $12 500 per month to maintain a lobs...

A lobster catcher spends $12 500 per month to maintain a lobster boat. He plans to catch an average of 20 days per month during lobster season. For each day, he must allow approx

Sums, what is 10 times 10 pls

what is 10 times 10 pls

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