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

What is the function of gate signal in 8254 timer, What is the function of ...

What is the function of gate signal in 8254 timer? The  8254 has three independent 16-bit counters, which can be programmed to. Work in any one of possible six modes. Every cou

Economic analysis of hydropower, find the net value of power if an average ...

find the net value of power if an average value of energy is assumed to be $0.05/KWh, the capacity value is $30/kw-yr ...

Logic circuits, : A farmer owns two barns; one north of a creek and the oth...

: A farmer owns two barns; one north of a creek and the other south of the creek. The farmer has a Cabbage, a Goat, and a Wolf. The Farmer needs to put each item in a barn every ni

TTL NAND gate, Q. Explain working of TTL NAND gate? The TTL logic famil...

Q. Explain working of TTL NAND gate? The TTL logic family uses only transistors instead of a combination of transistors and diodes. TTL has the same high and low ranges as DTL.

Explain thermal noise, Thermal noise This is the most significant noise...

Thermal noise This is the most significant noise in an ampli?er. It is produced by random movements of electrons in the resistors. This is caused by the ?uctuations in the volt

Cellular telecommunication sector - software defined radio, Cellular teleco...

Cellular telecommunication sector - Software Defined Radio As of now, every cell phone transmits and receives information through a speci?c standard. If we have to change the s

Complete the timing diagram for counter, Q. When the J and K inputs of a JK...

Q. When the J and K inputs of a JKFF are tied to logic 1, this device is known as a divide-by-2 counter. Complete the timing diagram shown in Figure for this counter.

Explain standard set of procedure used in completing a call, Q. Explain Sta...

Q. Explain Standard set of procedure used in Completing a call? Completing a local telephone call between two subscribers linked to the same telephone switch is accomplished th

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

what is Zener diode ? give some uses of it .

What does the eu do, Execution Unit receives program instruction codes and ...

Execution Unit receives program instruction codes and data from BIU, implements these instructions and store the result in general registers.

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