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

Analyze the dynamic path of pork prices, A well-known simple model, applica...

A well-known simple model, applicable for analysing boom-bust cycles in agriculture, but extendable to analysing boom-bust cycles in many different areas of economics is the hog cy

Deflation, Deflation Indexes may be utilized to deflate time series so...

Deflation Indexes may be utilized to deflate time series so that comparisons among periods may be made in real terms. This is a process of decreases a value measured in cur

Formulas, all formulas of plane figures

all formulas of plane figures

Factoring quadratics of the form x2 + bx + c, Factoring quadratics of the f...

Factoring quadratics of the form x 2 + bx + c ? This tutorial will help you factor quadratics that look something like this: x 2 + 7x + 12 (Positive coefficients; no lea

Estimate the grade resistance, The grade resistance is F=W sin θ, where θ i...

The grade resistance is F=W sin θ, where θ is the grade and W is the weight of the automobile.  What is the grade resistance of a 2500 pound car traveling on a 2.6 degree uphill gr

What is the total number of pounds they bought if the total, The student co...

The student council bought two various kinds of candy for the school fair. They purchased 40 pounds of candy at $2.15 per pound and x pounds at $1.90 per pound. What is the total n

Systematic sampling, Systematic Sampling Systematic sampling is a part ...

Systematic Sampling Systematic sampling is a part of simple random sampling in descending or ascending orders. In systematic sampling a sample is drawn according to some predet

Decimals, 0.875 of a number is 2282. What is the number ?

0.875 of a number is 2282. What is the number ?

Which of the following binomials could represent the length, The area of Mr...

The area of Mr. Smith's rectangular classroom is x 2 - 25. Which of the following binomials could represent the length and the width of the room? Since area of a rectangle is

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