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Consider a portion of monthly return data (In %) on 20-year Treasury Bonds from 2006–2010.   Date Return Jan-06 5.12 Feb-06 4.14 ⋮ ⋮ Dec-10 5.47     Date Return Jan-06 5.12 Feb-06 4.14 Mar-06 4.68 Apr-06 5.25 May-06 5.35 Jun-06 3.64 Jul-06 4.68 Aug-06 4.65 Sep-06 3.55 Oct-06 3.55 Nov-06 4.3 Dec-06 3.54 Jan-07 3.8 Feb-07 3.98 Mar-07 4.33 Apr-07 4.69 May-07 5.37 Jun-07 4.74 Jul-07 5.17 Aug-07 3.22 Sep-07 4.97 Oct-07 5.13 Nov-07 3.35 Dec-07 3.86 Jan-08 4.06 Feb-08 4.64 Mar-08 4.83 Apr-08 5.06 May-08 5.46 Jun-08 5.22 Jul-08 4.29 Aug-08 4.79 Sep-08 5.45 Oct-08 4.85 Nov-08 3.54 Dec-08 4.9 Jan-09 3.6 Feb-09 4.48 Mar-09 3.51 Apr-09 3.72 May-09 4.24 Jun-09 4.36 Jul-09 5.17 Aug-09 3.25 Sep-09 4.74 Oct-09 5.03 Nov-09 5.44 Dec-09 3.55 Jan-10 4.21 Feb-10 5.27 Mar-10 5.07 Apr-10 3.7 May-10 4.65 Jun-10 4.21 Jul-10 4.38 Aug-10 4.29 Sep-10 4.93 Oct-10 4.48 Nov-10 3.32 Dec-10 5.47 Estimate a linear trend model with seasonal dummy variables to make forecasts for the first three months of 2011.        Year Month ŷt 2011 Jan   2011 Feb   2011 Mar

Consider a portion of monthly return data (In %) on 20-year Treasury Bonds from 2006–2010.   Date Return Jan-06 5.12 Feb-06 4.14 ⋮ ⋮ Dec-10 5.47     Date Return Jan-06 5.12 Feb-06 4.14 Mar-06 4.68 Apr-06 5.25 May-06 5.35 Jun-06 3.64 Jul-06 4.68 Aug-06 4.65 Sep-06 3.55 Oct-06 3.55 Nov-06 4.3 Dec-06 3.54 Jan-07 3.8 Feb-07 3.98 Mar-07 4.33 Apr-07 4.69 May-07 5.37 Jun-07 4.74 Jul-07 5.17 Aug-07 3.22 Sep-07 4.97 Oct-07 5.13 Nov-07 3.35 Dec-07 3.86 Jan-08 4.06 Feb-08 4.64 Mar-08 4.83 Apr-08 5.06 May-08 5.46 Jun-08 5.22 Jul-08 4.29 Aug-08 4.79 Sep-08 5.45 Oct-08 4.85 Nov-08 3.54 Dec-08 4.9 Jan-09 3.6 Feb-09 4.48 Mar-09 3.51 Apr-09 3.72 May-09 4.24 Jun-09 4.36 Jul-09 5.17 Aug-09 3.25 Sep-09 4.74 Oct-09 5.03 Nov-09 5.44 Dec-09 3.55 Jan-10 4.21 Feb-10 5.27 Mar-10 5.07 Apr-10 3.7 May-10 4.65 Jun-10 4.21 Jul-10 4.38 Aug-10 4.29 Sep-10 4.93 Oct-10 4.48 Nov-10 3.32 Dec-10 5.47 Estimate a linear trend model with seasonal dummy variables to make forecasts for the first three months of 2011.        Year Month ŷt 2011 Jan   2011 Feb   2011 Mar

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Consider a portion of monthly return data (In %) on 20-year Treasury Bonds from 2006–2010.

 

Date Return
Jan-06 5.12
Feb-06 4.14
⋮ ⋮
Dec-10 5.47
 

 

Date Return
Jan-06 5.12
Feb-06 4.14
Mar-06 4.68
Apr-06 5.25
May-06 5.35
Jun-06 3.64
Jul-06 4.68
Aug-06 4.65
Sep-06 3.55
Oct-06 3.55
Nov-06 4.3
Dec-06 3.54
Jan-07 3.8
Feb-07 3.98
Mar-07 4.33
Apr-07 4.69
May-07 5.37
Jun-07 4.74
Jul-07 5.17
Aug-07 3.22
Sep-07 4.97
Oct-07 5.13
Nov-07 3.35
Dec-07 3.86
Jan-08 4.06
Feb-08 4.64
Mar-08 4.83
Apr-08 5.06
May-08 5.46
Jun-08 5.22
Jul-08 4.29
Aug-08 4.79
Sep-08 5.45
Oct-08 4.85
Nov-08 3.54
Dec-08 4.9
Jan-09 3.6
Feb-09 4.48
Mar-09 3.51
Apr-09 3.72
May-09 4.24
Jun-09 4.36
Jul-09 5.17
Aug-09 3.25
Sep-09 4.74
Oct-09 5.03
Nov-09 5.44
Dec-09 3.55
Jan-10 4.21
Feb-10 5.27
Mar-10 5.07
Apr-10 3.7
May-10 4.65
Jun-10 4.21
Jul-10 4.38
Aug-10 4.29
Sep-10 4.93
Oct-10 4.48
Nov-10 3.32
Dec-10 5.47


Estimate a linear trend model with seasonal dummy variables to make forecasts for the first three months of 2011. 

 

 
 
Year Month ŷt
2011 Jan  
2011 Feb  
2011 Mar  
 

 

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