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.
Cet exercice fait partie du cours
Quantitative Risk Management in R
Instructions
- Make acf plots and cross-correlation plots for
zcb_xand the absolute values ofzcb_x. - Apply the Ljung-Box test to the components of
zcb_xand the absolute values with the optionlag = 10. - Make acf plots and cross-correlation plots for
zcbx_mand the absolute values ofzcbx_m. - Apply the Ljung-Box test to the components of
zcbx_mand the absolute values with the optionlag = 10.
Exercice interactif pratique
Essayez cet exercice en complétant cet exemple de 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