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

Calculate the active and reactive power, The variable resistor Z o in the ...

The variable resistor Z o in the circuit shown in Fig. 1  is adjusted until maximum average power is delivered to Zo. a)  Find the value of Z o b)  Calculate the maximum av

Energy band, Energy band: the energy band picture for Ii an- typ...

Energy band: the energy band picture for Ii an- type, and Iii ap - type semiconductor Indicate the position for, the donor and acceptor levels. Sol.(a)

Case 2 a>b - program description, Case 2 ( A>B) Suppose XX = 05H ( stor...

Case 2 ( A>B) Suppose XX = 05H ( stored  in A ) And  YY = 02H ( stored  in B). Then carry  flag will  reset by CMP instruction, since  A> B in this  case JNC  will transfer the

Transistor terminals in bjt, Q. Transistor terminals in BJT ? BJTS have...

Q. Transistor terminals in BJT ? BJTS have three terminals namely base terminal, emitter terminal and collector terminal .The emitter layer is a source of charge carriers and i

What is effect of overheating on an electric insulator, What is the effect ...

What is the effect of overheating on the life of an electric insulator? An insulator is designed to withstand amount of heat. However, when an insulator is overheated so dielec

Magnetic ckt''s, what is the difference between statically and dynamically ...

what is the difference between statically and dynamically induced emf''s

Dc machines, commutator in d.c machine acts as... what????

commutator in d.c machine acts as... what????

Thermal Transducers, what is the working of thermal transducers?

what is the working of thermal transducers?

Explain error-rate control and output-rate control, Error-Rate Control, Out...

Error-Rate Control, Output-Rate Control, and Integral-Error (Reset) Control Let us consider a typical second-order servomechanism(containing two energy-storing elements) whose

Characteristics of the diode, Consider a forward-biased diode with a load r...

Consider a forward-biased diode with a load resistance. Let the static volt-ampere characteristic of the diode be given by Equations, and typically represented by Figure. (a) Fo

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