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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.
The ratio of the sum of first n terms of two AP's is 7n+1:4n+27. Find the ratio of their 11th terms . Ans: Let a 1 , a 2 ... and d 1 , d 2 be the I terms are Cd's of t
If the following terms form a AP. Find the common difference & write the next 3 terms3, 3+ √2, 3+2√2, 3+3√2.......... Ans: d= √2 next three terms 3 + 4 √ 2 , 3 + 5√ 2 ,
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Theorem Consider the subsequent IVP. y′ = p (t ) y = g (t ) y (t 0 )= y 0 If p(t) and g(t) are continuous functions upon an open interval a o , after that there i
Use the concepts of sampling error and z- scores to explain the concept of distribution of sample means.
1+2cos(2x=0
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A man invests rs.10400 in 6%shares at rs.104 and rs.11440 in 10.4% shares at rs.143.How much income would he get in all??
8l550ml - 1/4l =
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