MrEquation
New Member
Here are 10 days of date for the Danish exchange rate:
04-jan-94 0,5757
05-jan-94 0,5745
06-jan-94 0,5739
07-jan-94 0,5775
10-jan-94 0,5766
11-jan-94 0,5750
12-jan-94 0,5764
13-jan-94 0,5713
14-jan-94 0,5711
17-jan-94 0,5698
The question is:
Estimate the value og lambda in the EWMA model that minimizes the value of Squr(Sum(Vi-beta))
where Vi is the variance forevast made at the end of day i-1 and beta is the variance calulated from the data between day i and day i+5.
Use the Sover tool in Excel.
How do I solve this???
This is simular to one of the Further Questions in Hull
04-jan-94 0,5757
05-jan-94 0,5745
06-jan-94 0,5739
07-jan-94 0,5775
10-jan-94 0,5766
11-jan-94 0,5750
12-jan-94 0,5764
13-jan-94 0,5713
14-jan-94 0,5711
17-jan-94 0,5698
The question is:
Estimate the value og lambda in the EWMA model that minimizes the value of Squr(Sum(Vi-beta))
where Vi is the variance forevast made at the end of day i-1 and beta is the variance calulated from the data between day i and day i+5.
Use the Sover tool in Excel.
How do I solve this???
This is simular to one of the Further Questions in Hull