Volatilities

Compute daily volatilities of the S&P500 return and bond returns, using a “3-year rolling window’. How do estimates from RiskMetrics compare with those from using a rolling window?

Business Question The file 433.Assignment 01.csv (available at Canvas) contains daily data on S&P500 index and the Vanguard Total Bond Market Index Fund from 1987 to 2014. The Vanguard Bond fund is designed to provide broad exposure to U.S. investment-grade bonds. To be more specific, the fund invests about 30% in corporate bonds and 70% […]

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