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

Explain comparing mixed numbers in maths, Explain Comparing Mixed Numbers i...

Explain Comparing Mixed Numbers in maths? A mixed number is made up of two parts: a whole number and a fraction. For example: 2(3/4) 2(3/4) is read "two and three-fourths

Matrices, how solve the inverse matrices using the matlab?

how solve the inverse matrices using the matlab?

Evaluate the definite integral, Evaluate the given definite integral. ...

Evaluate the given definite integral. Solution                      Let's begin looking at the first way of dealing along with the evaluation step. We'll have to be c

Lim.., how can solve limits

how can solve limits

Faltings theorem, What is Faltings Theorem? Explain Faltings Theorem

What is Faltings Theorem? Explain Faltings Theorem

Example of communicating the meaning of addition, Ms. Mehta teaches in a go...

Ms. Mehta teaches in a government primary school in Delhi. The children who come to her in Class 1 are familiar with a few numbers. At the beginning of the session, she asks the ch

Linear equation, tens digit of a 2-digit number is twice its unit digit. If...

tens digit of a 2-digit number is twice its unit digit. If the sum of the digit is 12, find the number.

If a sequence is bounded and monotonic then it is convergent, Theorem ...

Theorem If {a n } is bounded and monotonic then { a n } is convergent.  Be cautious to not misuse this theorem.  It does not state that if a sequence is not bounded and/or

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