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

Determine the property of join in a boolean algebra, Determine that in a Bo...

Determine that in a Boolean algebra, for any a and b, (a Λ b) V (a Λ b' ) = a.  Ans: This can be proved either by using the distributive property of join over meet (or of mee

Determine radicals in exponent form, Evaluate following.               ...

Evaluate following.                √16 and Solution To evaluate these first we will convert them to exponent form and then evaluate that since we already know how to

Find out the surface area of the solid, Find out the surface area of the so...

Find out the surface area of the solid acquired by rotating y = √ (9-x 2 ), - 2 x 2 about the x-axis. Solution The formula that we'll be using here is, S = ∫ 2Πyds

Equation of the plane x + 4y 3z = 1, Find the equation of the plane thro...

Find the equation of the plane through (2, 1, 0) and parallel to x + 4y   3z = 1.

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

Problem solving, compare 643,251;633,512; and 633,893. The answer is 633,51...

compare 643,251;633,512; and 633,893. The answer is 633,512

Geometry, find the value of 0 that makes cos 21 degrees = sin 0 statement t...

find the value of 0 that makes cos 21 degrees = sin 0 statement true.

What will the day of the week be the further time at the gym, Max goes to t...

Max goes to the gym every fourth day. Ellen's exercise routine is to go every third day. Today is Monday and both Max and Ellen are at the gym. What will the day of the week be the

The length of the rectangle, Suppose that the width of a rectangle is three...

Suppose that the width of a rectangle is three feet shorter than length and that the perimeter of the rectangle is 86 feet. a)  Set up an equation for the perimeter involving on

Unipolar and bipolar boolean inputs, A 4-input Neuron has weights (1,-1,  0...

A 4-input Neuron has weights (1,-1,  0,  0.5.Calculate the network output when the following input vectors are applied. For calculation assume: a. f(net) = unipolar bina

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