Given monthly US Treasury rates in the Excel file. - Calculate the PCAs using monthly changes for the following specifications o Simple differences: [x(t)x(t1)] o Log differences: ln[x(t)/x(t1)] o Displaced log differences: ln[(x(t)+2%)/(x(t1)+2%)] - What percent of the variation is accounted for by the first 3 Principal Components? - What would be a 2-standard deviation confidence interval for the first Principal Component over a 1-month horizon? A 12-month horizon? - Redo using annual changes and compare your 12-month confidence intervals? Given monthly US Treasury rates in the Excel file. - Calculate the PCAs using monthly changes for the following specifications o Simple differences: [x(t)x(t1)] o Log differences: ln[x(t)/x(t1)] o Displaced log differences: ln[(x(t)+2%)/(x(t1)+2%)] - What percent of the variation is accounted for by the first 3 Principal Components? - What would be a 2-standard deviation confidence interval for the first Principal Component over a 1-month horizon? A 12-month horizon? - Redo using annual changes and compare your 12-month confidence intervals