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

Estimate the last month sales increased through only 1/2%, Sales increased ...

Sales increased through only 1/2% last month. If the sales from the previous month were $152,850, what were last month's sales? Multiply through the decimal equivalent of 1/2 %

Operation research, approximate the following problem as a mixed integer pr...

approximate the following problem as a mixed integer program. maximize z=e-x1+x1+(x2+1)2 subject to x12+x2 =0

Squeeze theorem (sandwich theorem and the pinching theorem), Squeeze Theore...

Squeeze Theorem (Sandwich Theorem and the Pinching Theorem) Assume that for all x on [a, b] (except possibly at x = c ) we have,                                 f ( x )≤ h (

What is the area of the court in square feet, A racquetball court is 40 ft ...

A racquetball court is 40 ft through 20 ft. What is the area of the court in square feet? The area of a rectangle is length times width. Thus, the area of the racquetball court

Exercise to think about this aspect of children- maths, Doing the following...

Doing the following exercise will give you and opportunity to think about this aspect of children. E1) List some illustrations of exploration by four or five-year-olds that you

Geometry, How do you solve (17+w)^2 + w^2 = (25+w)^2

How do you solve (17+w)^2 + w^2 = (25+w)^2

Decimals, 0.875 of a number is 2282. What is the number ?

0.875 of a number is 2282. What is the number ?

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