Testing stationarity, Electrical Engineering

Assignment Help:

1)  Use plot of the stock return and consider the Autocorrelation Function to determine the auto-regressive structure of the data and explain why you think the return is stationary.

2)  Use the information in (1) to estimate a univariate auto-regressive (AR) model of the return series (at the minimum estimate an AR(1) or AR(2) model).

3)  Save the residuals from the model in (1) and use their square to run an auxiliary regression to test for ARCH.

4)  Re-estimate the time series model either correcting for ARCH (using the GLS method in the lectures) or by augmenting the model by one or two dummy variables to correct for non-normality (any large shocks in the stock return).

 

 


Related Discussions:- Testing stationarity

Elucidate the process of inter-register signalling, Q. Elucidate the proces...

Q. Elucidate the process of inter-register signalling. Ans: Registers are used in common control exchanges to store as well as analyze routing data. They are provided on a

12345, how do you get better at school

how do you get better at school

Determine the stations visual-carrier frequency, If a television station op...

If a television station operates on UHF channel 20 (band 506-512 MHz), determine the station's visual-carrier frequency.

Resistors, Difference between linear and non-linear resistors

Difference between linear and non-linear resistors

Mention the desirable properties of fuse materials, Mention the desirable p...

Mention the desirable properties of fuse materials. A fuse material must possess the properties as follows: Low resistivity - It means, thin wires can be used that will of

Calculation of aggregate technical and commercial loss, Calculation of Aggr...

Calculation of Aggregate Technical and Commercial Loss The concept of AT&C loss was introduced within 2001-02. The AT&C losses are presently in the range of 18% to 62% in seve

Matlab, how to model a doubly fed induction generator inside simulink?

how to model a doubly fed induction generator inside simulink?

Prepaid metering, Prepaid Metering Prepaid metering is the state of ar...

Prepaid Metering Prepaid metering is the state of art for single and three-phase although current metering, and should be implemented through utilities desirous of protecting

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd