Calculate the Annual Volatility of Your Market for Each Year Since 2000

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SKU: Fin892234 Category:

what is the average daily return of the market?

 

Financial and Investment Strategies

1) Calculate Descriptive Statistics for your chosen market for the last 14 years – what is the average daily return of the market? What does this mean in terms of a typical trading day on your market?

 

2) Graph the daily returns of your market over the last 14 years – does your data look like it is homoscedastic or heteroscedastic?

 

3) Calculate the annual volatility of your market for each year since 2000. (You will have 14 annual volatility values)

 

4) Graph the annual volatility of your chosen market over the last 14 years. Comment on the stability (or lack of) of the volatility of each market over the last 14 years ie. Comment on the volatility of the volatility

 

5) Try using a rolling standard deviation of 20 days and graph the volatility for your chosen market over the last 14 years – compare this graph with the previous graph in part 4 and comment on which may be a more useful tool to inform investors in the market today.

 

6) Using your graph from Part 5, identify and discuss two different periods of high volatility for your chosen market

 

7) Comment/justify/disprove the following: “Periods of rising volatility are associated with falling asset prices.”

 

Download (XLS, Unknown)

 
 

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