# Question: An Excel spreadsheet containing over 900 days of daily data

An Excel spreadsheet containing over 900 days of daily data on a number of different exchange rates and stock indices can be downloaded from the author’s website:

www-2.rotman.utoronto.ca/∼hull/RMFI/data. Choose one exchange rate and one stock index. Estimate the value of in the EWMA model that minimizes the value of

where vi is the variance forecast made at the end of day i − 1 and i is the

variance calculated from data between day i and day i + 25. Use the Solver

tool in Excel. To start the EWMA calculations, set the variance forecast at

the end of the first day equal to the square of the return on that day.

www-2.rotman.utoronto.ca/∼hull/RMFI/data. Choose one exchange rate and one stock index. Estimate the value of in the EWMA model that minimizes the value of

where vi is the variance forecast made at the end of day i − 1 and i is the

variance calculated from data between day i and day i + 25. Use the Solver

tool in Excel. To start the EWMA calculations, set the variance forecast at

the end of the first day equal to the square of the return on that day.

**View Solution:**## Answer to relevant Questions

Suppose that the parameters in a GARCH(1,1) model are = 0.03, = 0.95 and = 0.000002. (a) What is the long-run average volatility? (b) If the current volatility is 1.5% per day, what is your estimate of ...Create an Excel spreadsheet to produce a chart similar to Figure 11.5 showing samples from a bivariate Student’s t-distribution with four degrees of freedom where the correlation is 0.5. Next suppose that the marginal ...The change in the value of a portfolio in three months is normally distributed with a mean of $500,000 and a standard deviation of $3 million. Calculate the VaR and ES for a confidence level of 99.5% and a time horizon of ...Suppose that you know the gamma of the portfolio in Problem 15.17 is –2.6. Derive a quadratic relationship between the change in the portfolio value and the percentage change in the underlying asset price in one day. (a) ...Suppose that the assets of a bank consist of $500 million of loans to BBB-rated corporations. The PD for the corporations is estimated as 0.3%. The average maturity is three years and the LGD is 60%. What is the total ...Post your question