Wet Market hedging

Wet Market hedging

Question 2: Risk Analysis and Value at Risk
Given the Baltic Assessments for Average 4TCs for Capesize and Panamax 1 calendar ahead (Cal+1) FFAs in Excel file “Baltic Assessments 2013-14”,
a) Estimate the Rolling Volatility (annualised standard deviation) of the series over 2014 using a six-month (126 day) window.

b) Estimate the Exponentially Weighted Average Volatility (RiskMetrics approach) for the series over the same period as in part a), and plot the two (Rolling and EWAV)