On Thursday, June 23, 2016, electorate in the United Kingdom and Gibraltar voted in
the referendum on whether to Remain or Leave the European Union. Voting started at
0700 BST and finished at 2200 BST. The final result was announced at 0720 BST,
June 24, 2016. We will take a look at the exchange rate movements during this period.
Sheet \"Part IIIA\" includes daily data in 2016 (Jan 1 – Dec 30) covering the spot,
overnight (ON) and one-week forward rates for GBP-USD pair. Sheet \"Part IIB\"
includes the daily LIBOR rates for GBP and USD in per annum terms (the day count
per year for GBP and USD are 365 and 360 days respectively)$^2$.
1. Find the rate of change of the spot rate $S_t$: $e_{t+1} = \Delta S_{t+1}/S_t$. Plot the time-series
of $e_{t+1}$. Report the mean, standard deviation, max and min of $e$. Find out
the dates for the max, min. (15 marks)