Question

In: Statistics and Probability

Daily Spot Exchange Rate, U.S. Dollars per Pound Sterling Date Rate Date Rate Date Rate 1-Apr-04...

Daily Spot Exchange Rate, U.S. Dollars per Pound Sterling
Date Rate Date Rate Date Rate
1-Apr-04 1.8564 13-Apr-04 1.8160 23-Apr-04 1.7674
2-Apr-04 1.8293 14-Apr-04 1.7902 26-Apr-04 1.7857
5-Apr-04 1.8140 15-Apr-04 1.7785 27-Apr-04 1.7925
6-Apr-04 1.8374 16-Apr-04 1.8004 28-Apr-04 1.7720
7-Apr-04 1.8410 19-Apr-04 1.8055 29-Apr-04 1.7751
8-Apr-04 1.8325 20-Apr-04 1.7914 30-Apr-04 1.7744
9-Apr-04 1.8322 21-Apr-04 1.7720 3-May-04 1.7720
12-Apr-04 1.8358 22-Apr-04 1.7684 4-May-04 1.7907
5-May-04 1.7932 13-May-04 1.7584 21-May-04 1.7880
6-May-04 1.7941 14-May-04 1.7572 24-May-04 1.7908
7-May-04 1.7842 17-May-04 1.7695 25-May-04 1.8135
10-May-04 1.7723 18-May-04 1.7695 26-May-04 1.8142
11-May-04 1.7544 19-May-04 1.7827 27-May-04 1.8369
12-May-04 1.7743 20-May-04 1.7710 28-May-04 1.8330

(a) Make a line chart and fit an m-period moving average to the exchange rate data shown above with m = 2, 3, 4, and 5 periods. For each method, state the last MA value. (Round your answers to 4 decimal places.)

m-period Next period forecast
2
3
4
5

Solutions

Expert Solution

Answer:

last MA value:

m-period Next period forecast
2 period MA   1.8350
3 period MA   1.8280
4 period MA   1.8244
5 period MA   1.8177

Calculation:

Rate 2 period MA   3 period MA   4 period MA   5 period MA  
1.8564
1.8293
1.814 1.8429
1.8374 1.8217 1.8332
1.841 1.8257 1.8269 1.8343
1.8325 1.8392 1.8308 1.8304 1.8356
1.8322 1.8368 1.8370 1.8312 1.8308
1.8358 1.8324 1.8352 1.8358 1.8314
1.816 1.8340 1.8335 1.8354 1.8358
1.7902 1.8259 1.8280 1.8291 1.8315
1.7785 1.8031 1.8140 1.8186 1.8213
1.8004 1.7844 1.7949 1.8051 1.8105
1.8055 1.7895 1.7897 1.7963 1.8042
1.7914 1.8030 1.7948 1.7937 1.7981
1.772 1.7985 1.7991 1.7940 1.7932
1.7684 1.7817 1.7896 1.7923 1.7896
1.7674 1.7702 1.7773 1.7843 1.7875
1.7857 1.7679 1.7693 1.7748 1.7809
1.7925 1.7766 1.7738 1.7734 1.7770
1.772 1.7891 1.7819 1.7785 1.7772
1.7751 1.7823 1.7834 1.7794 1.7772
1.7744 1.7736 1.7799 1.7813 1.7785
1.772
1.7748 1.7738 1.7785 1.7799
1.7907 1.7732 1.7738 1.7734 1.7772
1.7932 1.7814 1.7790 1.7781 1.7768
1.7941 1.7920 1.7853 1.7826 1.7811
1.7842 1.7937 1.7927 1.7875 1.7849
1.7723 1.7892 1.7905 1.7906 1.7868
1.7544 1.7783 1.7835 1.7860 1.7869
1.7743 1.7634 1.7703 1.7763 1.7796
1.7584 1.7644 1.7670 1.7713 1.7759
1.7572 1.7664 1.7624 1.7649 1.7687
1.7695 1.7578 1.7633 1.7611 1.7633
1.7695 1.7634 1.7617 1.7649 1.7628
1.7827 1.7695 1.7654 1.7637 1.7658
1.771 1.7761 1.7739 1.7697 1.7675
1.788 1.7769 1.7744 1.7732 1.7700
1.7908 1.7795 1.7806 1.7778 1.7761
1.8135 1.7894 1.7833 1.7831 1.7804
1.8142 1.8022 1.7974 1.7908 1.7892
1.8369 1.8139 1.8062 1.8016 1.7955
1.833 1.8256 1.8215 1.8139 1.8087
1.8350 1.8280 1.8244 1.8177

Calculation: Formulae

Date Rate Computation for 2 Period MA Computation for 3 Period MA Computation for 4 Period MA Computation for 5 Period MA
###### 1.8564
###### 1.8293
###### 1.814 =(1.8293+1.8564)/2
###### 1.8374 =(1.814+1.8293)/2 =(1.814+1.8293+1.8564)/3
###### 1.841 =(1.8374+1.814)/2 =(1.8374+1.814+1.8293)/3 =(1.8374+1.814+1.8293+1.8564)/4
###### 1.8325 =(1.841+1.8374)/2 =(1.841+1.8374+1.814)/3 =(1.841+1.8374+1.814+1.8293)/4 =(1.841+1.8374+1.814+1.8293+1.8564)/5
###### 1.8322 =(1.8325+1.841)/2 =(1.8325+1.841+1.8374)/3 =(1.8325+1.841+1.8374+1.814)/4 =(1.8325+1.841+1.8374+1.814+1.8293)/5
###### 1.8358 =(1.8322+1.8325)/2 =(1.8322+1.8325+1.841)/3 =(1.8322+1.8325+1.841+1.8374)/4 =(1.8322+1.8325+1.841+1.8374+1.814)/5
###### 1.816 =(1.8358+1.8322)/2 =(1.8358+1.8322+1.8325)/3 =(1.8358+1.8322+1.8325+1.841)/4 =(1.8358+1.8322+1.8325+1.841+1.8374)/5
###### 1.7902 =(1.816+1.8358)/2 =(1.816+1.8358+1.8322)/3 =(1.816+1.8358+1.8322+1.8325)/4 =(1.816+1.8358+1.8322+1.8325+1.841)/5
###### 1.7785 =(1.7902+1.816)/2 =(1.7902+1.816+1.8358)/3 =(1.7902+1.816+1.8358+1.8322)/4 =(1.7902+1.816+1.8358+1.8322+1.8325)/5
###### 1.8004 =(1.7785+1.7902)/2 =(1.7785+1.7902+1.816)/3 =(1.7785+1.7902+1.816+1.8358)/4 =(1.7785+1.7902+1.816+1.8358+1.8322)/5
###### 1.8055 =(1.8004+1.7785)/2 =(1.8004+1.7785+1.7902)/3 =(1.8004+1.7785+1.7902+1.816)/4 =(1.8004+1.7785+1.7902+1.816+1.8358)/5
###### 1.7914 =(1.8055+1.8004)/2 =(1.8055+1.8004+1.7785)/3 =(1.8055+1.8004+1.7785+1.7902)/4 =(1.8055+1.8004+1.7785+1.7902+1.816)/5
###### 1.772 =(1.7914+1.8055)/2 =(1.7914+1.8055+1.8004)/3 =(1.7914+1.8055+1.8004+1.7785)/4 =(1.7914+1.8055+1.8004+1.7785+1.7902)/5
###### 1.7684 =(1.772+1.7914)/2 =(1.772+1.7914+1.8055)/3 =(1.772+1.7914+1.8055+1.8004)/4 =(1.772+1.7914+1.8055+1.8004+1.7785)/5
###### 1.7674 =(1.7684+1.772)/2 =(1.7684+1.772+1.7914)/3 =(1.7684+1.772+1.7914+1.8055)/4 =(1.7684+1.772+1.7914+1.8055+1.8004)/5
###### 1.7857 =(1.7674+1.7684)/2 =(1.7674+1.7684+1.772)/3 =(1.7674+1.7684+1.772+1.7914)/4 =(1.7674+1.7684+1.772+1.7914+1.8055)/5
###### 1.7925 =(1.7857+1.7674)/2 =(1.7857+1.7674+1.7684)/3 =(1.7857+1.7674+1.7684+1.772)/4 =(1.7857+1.7674+1.7684+1.772+1.7914)/5
###### 1.772 =(1.7925+1.7857)/2 =(1.7925+1.7857+1.7674)/3 =(1.7925+1.7857+1.7674+1.7684)/4 =(1.7925+1.7857+1.7674+1.7684+1.772)/5
###### 1.7751 =(1.772+1.7925)/2 =(1.772+1.7925+1.7857)/3 =(1.772+1.7925+1.7857+1.7674)/4 =(1.772+1.7925+1.7857+1.7674+1.7684)/5
###### 1.7744 =(1.7751+1.772)/2 =(1.7751+1.772+1.7925)/3 =(1.7751+1.772+1.7925+1.7857)/4 =(1.7751+1.772+1.7925+1.7857+1.7674)/5
###### 1.772 =(1.7744+1.7751)/2 =(1.7744+1.7751+1.772)/3 =(1.7744+1.7751+1.772+1.7925)/4 =(1.7744+1.7751+1.772+1.7925+1.7857)/5
###### 1.7907 =(1.772+1.7744)/2 =(1.772+1.7744+1.7751)/3 =(1.772+1.7744+1.7751+1.772)/4 =(1.772+1.7744+1.7751+1.772+1.7925)/5
###### 1.7932 =(1.7907+1.772)/2 =(1.7907+1.772+1.7744)/3 =(1.7907+1.772+1.7744+1.7751)/4 =(1.7907+1.772+1.7744+1.7751+1.772)/5
###### 1.7941 =(1.7932+1.7907)/2 =(1.7932+1.7907+1.772)/3 =(1.7932+1.7907+1.772+1.7744)/4 =(1.7932+1.7907+1.772+1.7744+1.7751)/5
###### 1.7842 =(1.7941+1.7932)/2 =(1.7941+1.7932+1.7907)/3 =(1.7941+1.7932+1.7907+1.772)/4 =(1.7941+1.7932+1.7907+1.772+1.7744)/5
###### 1.7723 =(1.7842+1.7941)/2 =(1.7842+1.7941+1.7932)/3 =(1.7842+1.7941+1.7932+1.7907)/4 =(1.7842+1.7941+1.7932+1.7907+1.772)/5
###### 1.7544 =(1.7723+1.7842)/2 =(1.7723+1.7842+1.7941)/3 =(1.7723+1.7842+1.7941+1.7932)/4 =(1.7723+1.7842+1.7941+1.7932+1.7907)/5
###### 1.7743 =(1.7544+1.7723)/2 =(1.7544+1.7723+1.7842)/3 =(1.7544+1.7723+1.7842+1.7941)/4 =(1.7544+1.7723+1.7842+1.7941+1.7932)/5
###### 1.7584 =(1.7743+1.7544)/2 =(1.7743+1.7544+1.7723)/3 =(1.7743+1.7544+1.7723+1.7842)/4 =(1.7743+1.7544+1.7723+1.7842+1.7941)/5
###### 1.7572 =(1.7584+1.7743)/2 =(1.7584+1.7743+1.7544)/3 =(1.7584+1.7743+1.7544+1.7723)/4 =(1.7584+1.7743+1.7544+1.7723+1.7842)/5
###### 1.7695 =(1.7572+1.7584)/2 =(1.7572+1.7584+1.7743)/3 =(1.7572+1.7584+1.7743+1.7544)/4 =(1.7572+1.7584+1.7743+1.7544+1.7723)/5
###### 1.7695 =(1.7695+1.7572)/2 =(1.7695+1.7572+1.7584)/3 =(1.7695+1.7572+1.7584+1.7743)/4 =(1.7695+1.7572+1.7584+1.7743+1.7544)/5
###### 1.7827 =(1.7695+1.7695)/2 =(1.7695+1.7695+1.7572)/3 =(1.7695+1.7695+1.7572+1.7584)/4 =(1.7695+1.7695+1.7572+1.7584+1.7743)/5
###### 1.771 =(1.7827+1.7695)/2 =(1.7827+1.7695+1.7695)/3 =(1.7827+1.7695+1.7695+1.7572)/4 =(1.7827+1.7695+1.7695+1.7572+1.7584)/5
###### 1.788 =(1.771+1.7827)/2 =(1.771+1.7827+1.7695)/3 =(1.771+1.7827+1.7695+1.7695)/4 =(1.771+1.7827+1.7695+1.7695+1.7572)/5
###### 1.7908 =(1.788+1.771)/2 =(1.788+1.771+1.7827)/3 =(1.788+1.771+1.7827+1.7695)/4 =(1.788+1.771+1.7827+1.7695+1.7695)/5
###### 1.8135 =(1.7908+1.788)/2 =(1.7908+1.788+1.771)/3 =(1.7908+1.788+1.771+1.7827)/4 =(1.7908+1.788+1.771+1.7827+1.7695)/5
###### 1.8142 =(1.8135+1.7908)/2 =(1.8135+1.7908+1.788)/3 =(1.8135+1.7908+1.788+1.771)/4 =(1.8135+1.7908+1.788+1.771+1.7827)/5
###### 1.8369 =(1.8142+1.8135)/2 =(1.8142+1.8135+1.7908)/3 =(1.8142+1.8135+1.7908+1.788)/4 =(1.8142+1.8135+1.7908+1.788+1.771)/5
###### 1.833 =(1.8369+1.8142)/2 =(1.8369+1.8142+1.8135)/3 =(1.8369+1.8142+1.8135+1.7908)/4 =(1.8369+1.8142+1.8135+1.7908+1.788)/5

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