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

Determine the transfer function and driving-point impedance, Q. A filter is...

Q. A filter is a network employed to select one range of frequencies while rejecting all other frequencies. A basic building block often used in integrated-circuit filters is shown

For carry flag , For carry flag  CC ( Call on Carry ) and CNC ( Call ...

For carry flag  CC ( Call on Carry ) and CNC ( Call  on No Carry ) Instructions CC Calls  the subroutine form  the specified memory  location if carry flag  is set (CY=

Construct a suitable piecewise linear equivalent circuit, Problem: The ...

Problem: The current voltage characteristic [ ID versus VD] of a semiconductor diode for VD > 0 [forward bias] is given in Figure Under reverse bias conditions [VD Fi

Determine frequencies that is in the spectrum analyze, Two sine waves along...

Two sine waves along with periods of 10 ms and 30 ms are added to generate a single waveform. A spectrum analyzer is utilized to examine the frequency contents of the waveform. Wha

Diac - power semiconductor devices , Diac Diac is a device which  has d...

Diac Diac is a device which  has di electrode  and as its name suggests it works  on AC. The cross  sectional view of a diac is shown if the four layers are PNPN and PNPN .

Electromagnetic torque, The torque produced by each conductor in the field ...

The torque produced by each conductor in the field will be:  where A is the area of the armature winding in the magnetic field, Ia is the current in armature winding, and B

Explain keyboard interfacing to 8088 through 8279, Explain keyboard interfa...

Explain keyboard interfacing to 8088 through 8279 . The 8279 is a programmable keyboard and display interfacing component which scans and encodes up to a 64-key keyboard and con

Show voltage wave form of rlc series circuit, Q. The voltage wave form of F...

Q. The voltage wave form of Figure is applied to an RLC series circuit with R = 2, L = 2H, and C = 1 F. Obtain i(t) in the series circuit. (Note that the capacitor and inductor va

Metering techniques, Metering Techniques The techniques of metering co...

Metering Techniques The techniques of metering could be categorized depending upon the voltage at which consumers are fed as: 1. LT (Low Tension) Metering, and 2. HT (Hi

Counters, i need a counter of following o/p truth table 00000000 10000000 1...

i need a counter of following o/p truth table 00000000 10000000 11000000 11100000 11110000 11111000 11111100 11111110 11111111 00000000 10000000 . . . so please suggest me some IC

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