Form E Mini S P 500 Futures Dollar Bars A Compute Bollinger Bands Of Width 5 Around 2664287

Form E-mini S&P 500 futures dollar bars:

(a) Compute Bollinger bands of width 5% around a rolling moving average. Count how many times prices cross the bands out (from within the bands to outside the bands).

(b) Now sample those bars using a CUSUM filter, where {yt} are returns and h = 0.05. How many samples do you get?

(c) Compute the rolling standard deviation of the two-sampled series. Which one is least heteroscedastic? What is the reason for these results?


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