Data : FWMTF_20150820

1. (a)

70198 7898 8040
(b)
(=7898) (=8040)
10 26 11.453 9 30 1.388
10 26 11.531 9 30 1.391
10 26 11.545 9 30 1.409
10 26 11.556 9 30 1.414
10 26 11.638 9 30 1.435
10 26 11.69 9 30 1.557
10 26 11.726
10 26 11.784
10 26 11.868
10 26 11.948
10 26 11.952
10 26 59.483
10 26 59.514
10 27 0.747
10 27 0.899
10 27 1.119

2. (a)
()
0 37725 0.521013 0.610332
1 28544
2 3779
3 130
4 11
5 5
6 2

40000
35000
30000
25000
20000
15000
10000
5000
0
0 1 2 3 4 5 6

(b) t St r = 0.000299

3. (a) 10:221159

(100)
100
90
80
70
60
50
40
30
20
10
0
100 200 300 400 500 600 700 800 900 1000 1100 1200

(b) (window size = 1500)

Annualized realized S.D.

7

0
4131

18586

33041

47496

61951
1
2066

6196
8261
10326
12391
14456
16521

20651
22716
24781
26846
28911
30976

35106
37171
39236
41301
43366
45431

49561
51626
53691
55756
57821
59886

64016
66081
68146