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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.
Leptokurtic a) A frequency distribution which is lepkurtic has normally a higher peak than that of the general distribution. The coefficient of kurtosis while determined will
Formulas Now there are a couple of nice formulas which we will get useful in a couple of sections. Consider that these formulas are only true if starting at i = 1. You can, obv
Determine whether the following numbers are odd or even: Examples: Determine whether the following numbers are odd or even: 364, 1068, & 257. Solution: 1.
0.34/100
The equation ax2 + 2hxy + by2 =0 represents a pair of straight lines passing through the origin and its angle is tan q = ±2root under h2-ab/(a+b) and even the eqn ax2+2hxy+by2+2gx+
Suppose a regular polygon , which is an N-sided with equal side lengths S and similar angles at each corner. There is an inscribed circle to the polygon that has center C and ba
Submit solutions for all of the following questions. Remember to set out your answers showing all steps completely and explicitly justify your steps. 1. Provide, in no more than
In the diagram points V,W,X,Y and Z are collinear, VZ=52, XZ= 20 AND WX=XY=YZ. Find the indicated length of WX, VW, WY, VX, WZ, and VY
The power
Jon ran around a track that was one eighth of a mile long.He ran around the track twenty four times.How many miles did Jon run in all
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