Term Structure of Statistics
1. Calculate the following term structures statistics (Days 1 to 252) for the SX5E index. Provide graphs similar to the ones in this chapter.
![](https://test.transtutors.com/qimg/50bf63e6-dea9-420b-8de5-26048b87344d.png)
Hint To make life easier, use the OFFSET function in Excel, illustrated in Figure 3-47. (This function returns an array, not a number in a single cell.)
![](https://test.transtutors.com/qimg/b33bdb22-37bd-4839-9c99-997aca34dfea.png)
2. Create a scatter plot of rolling 21-day returns versus (annualized) 21-day volatilities (see formulas that follow). That is, one compares a specific 21-day return to the volatility of that same 21-day period in question. Provide graphs similar to the ones in this chapter.
![](https://test.transtutors.com/qimg/36ee3a1c-0e41-4160-936c-d5bb4f3c5c6e.png)
![](https://test.transtutors.com/qimg/2efd06bc-1e90-4818-b792-b7d2d094c34f.png)
3. Calculate the autocorrelation of squared returns up to 300 lag days. Provide graphs similar to the ones in this chapter.
![](https://test.transtutors.com/qimg/cd7f48c3-0aa8-4291-8dcb-66aca0a83cdb.png)
Use the CORREL() function in Excel along with the OFFSET() function.
![](https://test.transtutors.com/qimg/e68641c1-4551-4f8c-bcdb-a53b5c874a1f.png)