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

Absolute mean deviation-measures of central tendency, Illustration 1 I...

Illustration 1 In a described exam the scores for 10 students were given as: Student Mark (x) |x-x¯| A 60

Recursively, Let a 0 , a 1 ::: be the series recursively defined by a 0 =...

Let a 0 , a 1 ::: be the series recursively defined by a 0 = 1, and an = 3 + a n-1 for n ≥ 1. (a) Compute a 1 , a 2 , a 3 and a 4 . (b) Compute a formula for an, n ≥ 0.

Straight Line, can i known the all equations under this lesson with explana...

can i known the all equations under this lesson with explanations n examples. please..

Solve the subsequent differential equation, Solve the subsequent differenti...

Solve the subsequent differential equation. 2xy - 9 x 2 + (2y + x 2 + 1) dy/dt = 0 Solution Let's start off via supposing that wherever out there in the world is a fun

The Theory of Set, Set M= {m''s/m is a number from 5 to 10}

Set M= {m''s/m is a number from 5 to 10}

Find the annual percentage yield, 1.   Find the APY for the bank described ...

1.   Find the APY for the bank described below- A bank offers an APR of 4% compounded monthly. 2.  Use the compound interest formula to compute the balance in the following a

What are mutually exclusive events, Q. What are Mutually Exclusive events? ...

Q. What are Mutually Exclusive events? Mutually Exclusive Events are mutually exclusive if they cannot occur at the same time. For example, if you roll one die, you canno

Differential calculus finding limits, how can i evaluate this lim of x as x...

how can i evaluate this lim of x as x approaches to a

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