Volatility and correlation of interest-rate data
In this exercise you will explore whether volatility and serial dependence is also a feature of daily and monthly interest-rate log-returns. The dataset zcb_x
contains daily log-returns for the 1-year, 5-year and 10-year Canadian zero-coupon bond yields while zcbx_m
contains the corresponding monthly log-returns.
This exercise is part of the course
Quantitative Risk Management in R
Exercise instructions
- Make acf plots and cross-correlation plots for
zcb_x
and the absolute values ofzcb_x
. - Apply the Ljung-Box test to the components of
zcb_x
and the absolute values with the optionlag = 10
. - Make acf plots and cross-correlation plots for
zcbx_m
and the absolute values ofzcbx_m
. - Apply the Ljung-Box test to the components of
zcbx_m
and the absolute values with the optionlag = 10
.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Make acf plots of zcb_x and the absolute values of zcb_x
# Apply the Ljung-Box test to the components of zcb_x and their absolute values
# Make acf plots of zcbx_m and the absolute values of zcbx_m
# Apply the Ljung-Box test to the components of zcbx_m and their absolute values