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

Zener diode, what is Zener diode ? give some uses of it .

what is Zener diode ? give some uses of it .

With the help of the structures explain lcd, Q. With the help of the struct...

Q. With the help of the structures explain LCD. A liquid crystal display (LCD) is a thin, flat display device made up of any number of color or monochrome pixels arrayed in fro

Diode, report on diode

report on diode

What is non-folded network, Q. What is Non-Folded Network? Non-Folded ...

Q. What is Non-Folded Network? Non-Folded Network: In a switching network, all outlet/inlet connection may be used for inter exchange transmission. In such a case, exchange d

Find the overall current drawn from the supply, Q. A single-phase industria...

Q. A single-phase industrial plant consists of two loads in parallel: P1 = 48kW PF1 = 0.60 lagging P2 = 24kW PF2 = 0.96 leading It is operated from a 500-V, 60-Hz source.

What is an opcode, What is an Opcode? The part of the instruction that ...

What is an Opcode? The part of the instruction that specifies the operation to be performed is known as the operation code or opcode

Explain electrical contact materials, Explain electrical contact materials....

Explain electrical contact materials. Electrical contact materials: some elements, in their relatively pure forms as copper, nickel, molybdenum, palladium, silver, tungsten and

VLSI, In my designed analog circuit,efficiency is measured at steady state ...

In my designed analog circuit,efficiency is measured at steady state or transient state of my output node? Efficiency of MOSFET circuit given in datasheets of any product is measur

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