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Enron Mail |
Dear all,
As promised, I cleaned up the data and put it into 6 spreadsheet files (we will do Gold and cocoa separately). I also ran 10, 20, 30 and 60 day fwd fwd volatility calculations based on historical log return data - you can see the results at the bottom of the sheet called "Log Returns" for each of the six spreadsheets attached below. The data in the files is ready for PCA analysis. We can use either the fwd fwd vols from recent history or implied option quotes to complete the analysis. Regards, Anjam P.S. We have already done the PCA on ALUMINUM H (high grade, so please don't repeat the analysis for that one) FINAL FILES: Al_h:
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