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

Method of reduction of order, Consider the equation x 2 y′′+ xy′- y = 4x...

Consider the equation x 2 y′′+ xy′- y = 4x ln x (a) Verify that x is a solution to the homogeneous equation. (b) Use the method of reduction of order to derive the second

Trigonometry, how to work out consumer arithmetic?

how to work out consumer arithmetic?

Implicit differentiation, Implicit Differentiation : To this instance w...

Implicit Differentiation : To this instance we've done quite a few derivatives, however they have all been derivatives of function of the form y = f ( x ) .  Unluckily not all

Kyla, hi i am doing the oaks test do you have somthing that could help me

hi i am doing the oaks test do you have somthing that could help me

Find the area of shaded region, Find the area of shaded region, if the side...

Find the area of shaded region, if the side of square is 28cm and radius of the sector is ½ the length of side of square.

Tutor, How to be an expert at expertsmind

How to be an expert at expertsmind

Construct the adjacency matrix and the adjacency lists, Question: Constrcut...

Question: Constrcut the adjacency matrix and the adjacency lists for the graph G below, where the weights associated with edges represent distances between nodes. If no edge is pre

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