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

Logarithm, I need help with one logarithm problem

I need help with one logarithm problem

find the ratio of their 11th terms, The  ratio of the sum of first n term...

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

How much sales tax did she pay if items was 6 percent, Lindsay purchased a ...

Lindsay purchased a pocketbook for $45 and a pair of shoes for $55. The sales tax on the items was 6%. How much sales tax did she pay? Find out the price of the two items toget

Solid mensuration, a circle is circumscribed about an equilateral triangle ...

a circle is circumscribed about an equilateral triangle whose side is 3 cm. find the area of the circle.

Introduction to helping children learn mathematics, INTRODUCTION :  Do you...

INTRODUCTION :  Do you remember your school-going days, particularly your mathematics classes? What was it about those classes that made you like, or dislike, mathematics? In this

Algebra, 25 algebraic equations that equal 36

25 algebraic equations that equal 36

Problems involving motion - word problems, Problems Involving Motion - Word...

Problems Involving Motion - Word Problems: How far can a car travelling at a rate of 52 miles per hour travel in 2½ hours? Solution: Using Equation 13: s = vavt

Organized list strategy, i can not figer out my homework it says "USE THE M...

i can not figer out my homework it says "USE THE MAKE AN ORGANIZED LIST STRATEGY,Medeline bikes 4 laps around her neighborhood 2 times a week.How many laps does she bike in 8 weeks

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