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

Salient features of nep, Salient Features of NEP: Access to electrici...

Salient Features of NEP: Access to electricity: The policy not only envisages access to electricity for all but it also emphasizes in which all consumers, particularly t

Explain about concentrator expande, In second technique, a concentrator exp...

In second technique, a concentrator expander (CE) is used near cluster of users and another one at exchange end as demonstrated in figure. Only a few junction lines are run between

Describe in brief how email system works, Describe in brief how email syste...

Describe in brief how email system works Following is a simple description of how email system works: -  Sender composes a message (and attaches a file if required) and send

What is idss, Q. What is Idss. What are the conditions for its maximum valu...

Q. What is Idss. What are the conditions for its maximum value? The term 'Idss' refers to saturation condition of the Drain current. From the above graph it's clear that as the

The potential difference at the battery terminals, Ten 1.5V cells in series...

Ten 1.5V cells in series, each cells having an internal resistance of 0.3Ω, are connected series to a load of 25Ω. Determine : i.The current flowing the circuit

#bode plots.., #how to draw bode plots for a transfer function

#how to draw bode plots for a transfer function

Determine line voltage for the y- connected machine, A 3-phase, 16-pole syn...

A 3-phase, 16-pole synchronous machine is driven by a prime mover at a speed of 600-rpm with the stator open circuited. The rotor flux per pole is 0.025-Wb. Determine (a) the fr

Clapp oscillator, derivation of frequency of oscillators clapp and derive C...

derivation of frequency of oscillators clapp and derive C effect?

External frequency compensation of operational amplifier, Q. External Frequ...

Q. External Frequency Compensation of operational amplifier? For applications requiring a more extended high-frequency response, there are op amps with no internal compensation

Three-phase induction motor, Q. A 60-Hz, six-pole, wye-connected, three-pha...

Q. A 60-Hz, six-pole, wye-connected, three-phase induction motor, with the parameters R 1 = R 2 = 0.025  and Xl 1 = Xl 2 = 0.125 , is controlled by variable-frequency control

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