(a) Make an Excel line graph of the following bond yield data. Describe the pattern. Is there a consistent trend? (b) Use exponential smoothing (MegaStat, MINITAB, or Excel) with α = .20. Use both methods A and B to initialize the forecast (the default in both MegaStat and MINITAB). (c) Record the statistics of fit. (MegaStat uses MSE and MSD;MINITAB uses MSD and MAPE. With Excel you will have to calculate these by creating cell formulas.) (d) Do the smoothing again with α =.10and then with α = .30, recording the statistics of fit. (e)Compare the statistics of fit for the three values of α . (f) Make a one-period forecast (i.e., t = 53) using each of the three α values. How did a affect your forecasts?
U.S. Treasury 10-Year Bond Yields at Week's End (n=52weeks) | |||||||
Week | Yield | Week | Yield | Week | Yield | Week | Yield |
4/2/04 | 3.95 | 7/2/04 | 4.63 | 10/1/04 | 4.10 | 12/31/04 | 4.29 |
4/9/04 | 4.21 | 7/9/04 | 4.49 | 10/8/04 | 4.20 | 1/7/05 | 4.28 |
4/16/04 | 4.36 | 7/16/04 | 4.47 | 10/15/04 | 4.08 | 1/14/05 | 4.25 |
4/23/04 | 4.43 | 7/23/04 | 4.46 | 10/22/04 | 4,03 | 1/21/05 | 4.19 |
4/30/04 | 4.49 | 7/30/04 | 4.56 | 10/29/04 | 4.05 | 1/28/05 | 4.19 |
5/7/04 | 4.62 | 8/6104 | 4.41 | 11/5/04 | 4.12 | 2/4/05 | 4.14 |
5/14/04 | 4.81 | 8/13/04 | 4.28 | 11/1 2/04 | 4.22 | 2/11/05 | 4.06 |
5/21/04 | 4.74 | 8/20/04 | 4.23 | 11/19/04 | 4.17 | 2/18/05 | 4.16 |
5/28/04 | 4.68 | 8/27/04 | 4.25 | 11 /26/04 | 4.20 | 2/25/05 | 4.28 |
6/4/04 | 4.74 | 9/3/04 | 4.19 | 12/3/04 | 4.35 | 3/4/05 | 4.37 |
6/11/04 | 4.80 | 9/10/04 | 4.21 | 12/10/04 | 4.19 | 3/11/05 | 4.45 |
6/18/04 | 4.75 | 9/17/04 | 4.14 | 12/17/04 | 4.16 | 3/18/05 | 4.51 |
6/25/04 | 4.69 | 9/24/04 | 4.04 | 12/24/04 | 4.21 | 3/25/05 | 4.59 |
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