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

Managment Science, Classify models based on the degree of their abstraction...

Classify models based on the degree of their abstraction, and provide some examples of such models.

Evaluate the inverse function , Question: a. What is the inverse of f (...

Question: a. What is the inverse of f (x)? b. Graph the inverse function from part (a). c. Rewrite the inverse function from part (a) in exponential form. d. Evaluate

Trigonometry, show that, sin 90 degree = 2 cos 45 degree sin 45 degree

show that, sin 90 degree = 2 cos 45 degree sin 45 degree

Solve 8 cos2 (1 - x ) + 13 cos(1 - x )- 5 = 0 trig function, Solve 8 cos 2 ...

Solve 8 cos 2 (1 - x ) + 13 cos(1 - x )- 5 = 0 . Solution Now, as specified prior to starting the instance this quadratic does not factor.  Though, that doesn't mean all i

Compute the quartile coefficient of skewness, By using the above data compu...

By using the above data compute the quartile coefficient of skewness Quartile coefficient of skewness = (Q3 + Q1 - 2Q2)/(Q3 + Q1)                                The positio

Find the sum of given equation upto n limit, Find the sum of (1 - 1/n ) + (...

Find the sum of (1 - 1/n ) + (1 - 2/n ) + (1 - 3/n ) ....... upto n terms. Ans: (1 - 1/n ) + (1 - 2/n ) - upto n terms   ⇒[1+1+.......+n terms] - [ 1/n + 2/n +....+

How long will it take him to plow 21 acres, Mr. Brown plowed 6 acres in 1 h...

Mr. Brown plowed 6 acres in 1 hour. At this rate, how long will it take him to plow 21 acres? Mr. Brown plows 6 acres an hour, so divide the number of acres (21) through 6 to f

Index numbers, advantages and disadvantages of index numbers

advantages and disadvantages of index numbers

Projectile, what is the greatest projection range down an inclined plane? h...

what is the greatest projection range down an inclined plane? how we will calculate that?

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