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

What is the evaluation of angle, In a periscope, a pair of mirrors is mount...

In a periscope, a pair of mirrors is mounted parallel to each other as given. The path of light becomes a transversal. If ∠2 evaluate 50°, what is the evaluation of ∠3? a. 50°

Quadriatic-equations, Q. a(b - c)x^2 + b(c - a)x + c(a - b) = 0 has equal r...

Q. a(b - c)x^2 + b(c - a)x + c(a - b) = 0 has equal roots then b = ? Ans: Condition that a quadratic equation ax² + bx + c = 0 has equal roots is: Its discriminant, b² - 4ac = 0 A

Example of decimal to fraction conversion, Example of Decimal to Fraction C...

Example of Decimal to Fraction Conversion: Example: Convert 18.82 to a mixed number. Solution: Step 1:            18.82 is 18 and 82 hundredths. 18.82 = 18(8

Equal matrices - linear algebra and matrices, I need assignment help for Eq...

I need assignment help for Equal Matrices. can you please define Equal Matrices?

Example for pre-operational stage learning maths, E1) I have a three-year-o...

E1) I have a three-year-old friend. He has a lot of toy cars to play with. Playing with him once, I divided the cars into two sets. One set was more spread out and had 14 cars in i

Factor Fiction, Ok this is true or false wit a definition. The GCF of a pai...

Ok this is true or false wit a definition. The GCF of a pair of numbers can never be equal to one of the numbers.

Give the examples in real world of proportions , Give the Examples in Real ...

Give the Examples in Real World of Proportions? Proportions can be used in cooking. For example, the following is a set of ingredients for a pasta called "Spaghetti All' Amatri

Operations and properties, use an expression to write an expression with fi...

use an expression to write an expression with five 3s that has a value of 0

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