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

Microprocessor, Memory map of tpa in a personal computer and explain such o...

Memory map of tpa in a personal computer and explain such of the areas in brief

V-i characteristics - power semiconductor devices, V- I Characteristics ...

V- I Characteristics When the peak  value of  applied  voltage is less than the break over   voltage  of triac  and no signal  is applied to the triac  it will block  both  pos

Alumel and chromel wires (KP and KN), how do i figure up the resistance on ...

how do i figure up the resistance on Alumel and chromel wire stranded .080 dia 19 stands?

Illustrate gray code, (a) In the so-called folded binary code of 4 bits, th...

(a) In the so-called folded binary code of 4 bits, the left most digit represents the sign of an analog signal's quantized samples (with 0 for negative and 1 for positive), and the

For carry flag - conditional jumps , For carry Flag JC (  jump on  Ca...

For carry Flag JC (  jump on  Carry ) and JNC (Jump  on No carry ) Instructions : JC transfer the  execution of the  program to the  specified memory  address if  carry

Defective metering and meter reading errors, Defective Metering and Meter R...

Defective Metering and Meter Reading Errors Defective Metering Tampered, slow running, stalled, damaged meters are a cause of huge losses to the utility. The electromecha

How is segmentation implemented in typical microprocessors, How is segmenta...

How is segmentation implemented in typical microprocessors? The first advantage is as memory segmentation has is that only 16 bit registers are needed both to store segment bas

Find the equivalent components of the network, Q. At the two terminals (A, ...

Q. At the two terminals (A, B) of a one-port network, the voltage and the current are given to be v(t) =200 √2 cos (377t + 60°) V and i(t) = 10√2 cos(377t + 30°) A. (a) Determin

Physics, find the resultant of two forces 20N and25N acting at an angle 60...

find the resultant of two forces 20N and25N acting at an angle 60 degree each other

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