Please see attachment below for question.

WHO'M-thI Della Hedge Columns KM contain the data in Exhibit 5 of Dozier Case A. Since forward and ltures prices are (almost) identical in theory, assume that the 3-month forward rates shown there are the 3-month futures prices (assume CMEithe contract size is 62,500). Advise Rothschild on delta hedge following the steps below: a) Add a new sheet (with any name) and compute the time series of simple returns (the ratio of the current price to the last price minus 1) on the spot rate (ASE/'3) and on the futures prices (Att). Regress As,\" on min,\" to estimate the following relationship, A3151}: = a + . A't'm: + 3:- Output the result next to the two constructed series. Report the intercept (a), the slope coefcient (), their t-statistics, and the adjusted Rsquared below by referencing the regression output. Ifyou are unfamiliar with running regressions in Excel, see Sheet Example_Reg. [I t-statistic Adjusted Rsquared b) How can Dozier delta-hedge its exposure from the transaction described in the case on January 14? Put the underlying exposure in , state whether to buy or sell the futures, and compute the number of futures contracts to trade in the boxes below. Use the ROUND mction to round the result to the desired Underlying exposure (): Enter "Buy" or "Sell": Number of futures contracts: contracts c) What kind of mismatch does the hedge have? Choose one of the followings: 1. volatility, 2. interest, 3. liquidity, 4. spot, 5. forward, 6. currency, 7. maturity, S. ination, 9. volume. Enter only the number as a numeric value, e.g., 0: |:| ll Dozier Case A, Exhibit 5 1985-07-09 1985-07-16 1985-07-23 1985-07-30 19850806 1985-08-13 19850820 1985-08-27 1985-09-04 1985-09-10 1985-09-17 1985-09-24 1985-10-01 1985-10-08 1985-10-15 1985-10-22 1985-10-29 19851105 1985-11-12 1985-11-19 1985-11-26 1985-12-03 1985-12-10 1985-12-17 1985-12-23 1985-12-30 1986-01-07 1986-01-14